To determine the effect of Cancer–Testis Antigen (CTAg) expression on the natural history of primary cutaneous melanoma we compared its impact on prognosis with that of known prognostic factors and its relationship with other clinicopathologic characteristics. The immunohistochemical expression of three CTAgs (MAGE-A1, MAGE-A4 and NY-ESO-1) in 348 cases of stage I and stage II primary cutaneous melanoma was analysed and correlated with clinicopathologic characteristics, relapse free survival (RFS) and overall survival (OS). A Cox proportional hazards regression model was used to analyse factors which independently predicted RFS. All three CTAgs were significantly co-expressed with each other (p < 0.001). The median RFS for patients with CTAg-negative tumours and CTAg-positive tumours was 72 months and 45 months, respectively, (P = 0.008). Univariate analysis demonstrated that the impact of CTAg expression on RFS was comparable in magnitude to that of Breslow thickness, ulceration and tumour mitotic rate. Multivariate Cox regression analysis indicated that CTAg expression was a powerful independent predictor of RFS (risk ratio (RR) = 1.715, 95% confidence interval (CI) = 0.430–0.902, P = 0.010). In contrast, CTAg expression was demonstrated to have no prognostic impact on overall survival. This study demonstrates that CTAg expression in primary cutaneous melanoma is a strong independent predictor of RFS and it is comparable to other known important prognostic factors. CTAg expression has no relationship with overall survival, suggesting anti-melanoma immunity directed towards CTAg expression may contribute to the natural history of the disease. In view of these results, further investigation of the function of CTAgs and their potential use in therapeutic targeting is warranted.