Millimeter wave (MMW)-induced heating represents a promising alternative for non-invasive hyperthermia of superficial skin cancer, such as melanoma. Pulsed MMW-induced heating of tumors allows for reaching high peak temperatures without overheating surrounding tissues. Herein, for the first time, we evaluate apoptotic and heat shock responses of melanoma cells exposed in vitro to continuous (CW) or pulsed-wave (PW) amplitude-modulated MMW at 58.4 GHz with the same average temperature rise. Using an ad hoc exposure system, we generated 90 min pulse train with 1.5 s pulse duration, period of 20 s, amplitude of 10 °C, and steady-state temperature at the level of cells of 49.2 °C. The activation of Caspase-3 and phosphorylation of HSP27 were investigated using fluorescence microscopy to monitor the spatial variation of cellular response. Our results demonstrate that, under the considered exposure conditions, Caspase-3 activation was almost 5 times greater following PW exposure compared to CW. The relationship between the PW-induced cellular response and SAR-dependent temperature rise was non-linear. Phosphorylation of HSP27 was 58% stronger for PW compared to CW. It exhibits a plateau for the peak temperature ranging from 47.7 to 49.2 °C. Our results provide an insight into understanding of the cellular response to MMW-induced pulsed heating.