Simple SummaryImmunotherapy, most notably immune checkpoint inhibitors (ICIs), has revolutionized the treatment of advanced non-small cell lung cancer (NSCLC). Although some patients respond well to ICIs, many patients do not benefit from ICIs, leading to disease progression and/or immune-related adverse events. Biological markers can help to improve patient selection. However, currently available markers such as PD-1 and its ligand (PD-L1) have important limitations. For this reason, new biomarkers obtained by non-invasive methods are urgently needed. In the present review, we describe recent advances in the development of novel soluble biological markers (e.g., circulating immune cells, TMB, circulating tumor cells, circulating tumor DNA, soluble factor PD-L1, tumor necrosis factor, etc.) for patients with NSCLC treated with immunotherapy.Numerous targeted therapies have been evaluated for the treatment of non-small cell lung cancer (NSCLC). To date, however, only a few agents have shown promising results. Recent advances in cancer immunotherapy, most notably immune checkpoint inhibitors (ICI), have transformed the treatment scenario for these patients. Although some patients respond well to ICIs, many patients do not benefit from ICIs, leading to disease progression and/or immune-related adverse events. New biomarkers capable of reliably predicting response to ICIs are urgently needed to improve patient selection. Currently available biomarkers—including programmed death protein 1 (PD-1) and its ligand (PD-L1), and tumor mutational burden (TMB)—have major limitations. At present, no well-validated, reliable biomarkers are available. Ideally, these biomarkers would be obtained through less invasive methods such as plasma determination or liquid biopsy. In the present review, we describe recent advances in the development of novel soluble biomarkers (e.g., circulating immune cells, TMB, circulating tumor cells, circulating tumor DNA, soluble factor PD-L1, tumor necrosis factor, etc.) for patients with NSCLC treated with ICIs. We also describe the potential use of these biomarkers as prognostic indicators of treatment response and toxicity.