In silico models to predict which tumors will respond to a given drug are necessary for Precision Oncology. However, predictive models are only available for a handful of cases (each case being a given drug acting on tumors of a specific cancer type). A way to generate predictive models for the remaining cases is with suitable machine learning algorithms that are yet to be applied to existing in vitro pharmacogenomics datasets. Here, we apply XGBoost integrated with a stringent feature selection approach, which is an algorithm that is advantageous for these high-dimensional problems. Thus, we identified and validated 118 predictive models for 62 drugs across five cancer types by exploiting four molecular profiles (sequence mutations, copy-number alterations, gene expression, and DNA methylation). Predictive models were found in each cancer type and with every molecular profile. On average, no omics profile or cancer type obtained models with higher predictive accuracy than the rest. However, within a given cancer type, some molecular profiles were overrepresented among predictive models. For instance, CNA profiles were predictive in breast invasive carcinoma (BRCA) cell lines, but not in small cell lung cancer (SCLC) cell lines where gene expression (GEX) and DNA methylation profiles were the most predictive. Lastly, we identified the best XGBoost model per cancer type and analyzed their selected features. For each model, some of the genes in the selected list had already been found to be individually linked to the response to that drug, providing additional evidence of the usefulness of these models and the merits of the feature selection scheme.