Background: Tumour-infiltrating CD3, CD8 lymphocytes and CD68 macrophages are associated with favourable prognosis in localised colorectal cancer, but the effect in metastatic colorectal cancer (mCRC) is not established. Methods: A Scandinavian population-based cohort of non-resectable mCRC patients was studied. Tissue microarrays (n = 460) were stained with CD3, CD8 and CD68 using fluorescence-based multiplex immunohistochemistry. Associations with clinicopathological variables, overall survival (OS) and progression-free survival were estimated. Results: Two-thirds of microsatellite instable (MSI) and one-fourth of microsatellite stable (MSS) tumours displayed the highest quartile density of CD8. For CD3 high vs low cases, median OS was 20 vs 16 months (HR: 0.76, 95% CI: 0.59, 0.76, p = 0.025) with 3-year OS of 27 vs 13%. For CD68 high vs low cases, median OS was 23 vs 15 months (HR: 0.69, 95% CI: 0.54, 0.88, p = 0.003) with 3-year OS of 28 vs 12%. MSI, BRAF mutation and CDX2 loss were negative prognostic markers independent of tumour immune infiltration. Conclusions: In mCRC, high lymphocyte infiltration was found in proportions of MSI and MSS tumours—potential subgroups of immunotherapy response. Tumour-infiltrating CD3 lymphocytes and CD68 macrophages were associated with median and long-term survival. MSI was a significant negative prognostic marker despite high immunogenicity.