This paper presents a simple linear model based self-tuning controller (STC) for MIMO systems. The controller, namely the cautious selftuning controller (CSTC), features enhanced robustness characteristics in the case of unmodeled nonlinearities and / or dynamics. The controller structure is that of a linear quadratic, minimizing a single-step cost function, and with time varying input penalization. The CSTC can be applied to open-loop stable and minimum-phase systems. Application to a simulated distillation column demonstrates its effectiveness.