Although immune checkpoint blockade (ICB) is currently approved for the treatment of extensive-stage small-cell lung cancer (SCLC) in combination with chemotherapy, relatively few patients have demonstrated durable clinical benefit (DCB) to these therapies. Biomarkers predicting responses are needed. Biopsies from 35 SCLC patients treated with ICB were subjected to transcriptomic analysis; gene signatures were assessed for associations with responses. Twenty-one patients were treated with ICB in the first-line setting in combination with platinum-based chemotherapy; fourteen patients were treated in the second-line setting with ICB alone. DCB after ICB in SCLC in the second-line setting (3 of 14 patients) was associated with statistically higher transcriptomic levels of genes associated with inflammation (p = 0.003), antigen presentation machinery (p = 0.03), interferon responses (p < 0.05), and increased CD8 T cells (p = 0.02). In contrast, these gene signatures were not significantly different in the first-line setting. Our data suggest that responses to ICB in SCLC in the second-line setting can be predicted by the baseline inflammatory state of the tumor; however, this strong association with inflammation was not seen in the first-line setting. We postulate that chemotherapy alters the immune milieu allowing a response to ICB. Other biomarkers will be needed to predict responses in first-line therapy patients.