Currently, there is a lack of well-established markers to predict the efficacy of chemoimmunotherapy in small-cell lung cancer (SCLC). Neutrophil-to-lymphocyte ratio (NLR), platelet-to-lymphocyte ratio (PLR), advanced lung cancer inflammation index (ALI) and prognostic nutritional index (PNI) are associated with prognosis in several tumors, whereas their predictive role in SCLC remains unclear. A retrospective study was conducted at Sun Yat-sen University Cancer Center, involving extensive-stage SCLC (ES-SCLC) patients who received first-line chemoimmunotherapy between January 2020 and December 2021. Peripheral blood biomarkers were extracted from medical records and their correlation with prognosis and immune-related adverse events (IRAEs) was analyzed. A total of 114 patients were included. Patients with a low PLR, high ALI and high PNI had prolonged progression-free survival (PFS) compared to those with a high PLR, low ALI and low PNI. Patients with a low NLR, low PLR, high ALI and high PNI had prolonged overall survival (OS) compared to those with a high NLR, high PLR, low ALI and low PNI. Cox regression model showed that PNI was an independent risk factor for both PFS and OS. ROC curve showed that PNI outperforms NLR, PLR and ALI in predicting both PFS and OS. The PNI-based nomogram demonstrated strong predictive capability for both PFS and OS. In addition, there was a significant correlation between PNI and IRAEs. A high baseline PNI might be associated with improved prognosis and the occurrence of IRAEs in ES-SCLC patients treated with first-line chemoimmunotherapy.