Introduction: This multicenter study aimed to determine whether the pretreatment prognostic nutrition index (PNI) or a change in the index after two treatment courses could be a biomarker for predicting treatment sensitivity in patients with unresectable advanced or recurrent gastric cancer (GC) treated using chemotherapy and nivolumab as the first-line treatment. Methods: This multicenter retrospective study with 104 patients was conducted at 12 institutions. PNI was calculated before treatment and after two courses of treatment in each case. We also focused on changes in PNI from the pretreatment value. Results: After two courses of chemotherapy plus nivolumab treatment, the high PNI group had significantly better rates of overall survival (OS) (p = 0.0016) and time to treatment failure (p = 0.0060). Low PNI was an independent prognostic factor predicting both therapeutic sensitivity to chemotherapy plus nivolumab treatment and poorer OS. Furthermore, correlation with low pretreatment PNI transitioning to high after two courses of treatment was not noted in any patient in the progressive disease group (p = 0.0075). Conclusions: PNI is a score composed of a patient’s albumin level and lymphocyte count that can be easily assessed in daily clinical practice. Evaluating it is easy for each treatment; thus, when there is a focus on its transition, PNI could be a very powerful biomarker for predicting treatment sensitivity.