To evaluate the prognostic value of common clinical inflammatory and nutritional indicators before treatment in patients with non-small cell lung cancer in the real world. A total of 5,239 patients with pathologically confirmed non-small cell lung cancer from 2011 to 2018 in the Affiliated Cancer Hospital of Xinjiang Medical University were selected. Their inflammatory and nutritional indicators (RDW, PDW, NLR, LMR, NMR, PLR, SII, PNI, TP, ALB, CYRFA21-1, CEA, CA125, NSE, α1-globulin, α2-globulin, β1-globulin, β2-globulin, and γ-globulin) before treatment were collected. From the total number, 1,049 patients were randomly sampled (18 to 20% of patients each year) and used as the validation set; the remaining 4,190 patients were used as the training set. According to the eighth edition of the guidelines for the diagnosis, treatment, and stage risk stratification of lung cancer, the patients were divided into four groups: stage I/II operable, stage III operable, stage III inoperable, and stage IV. We used the X-tile software to intercept and classify the cut-off values of each index in the validation set. Univariate and multivariate Cox proportional-hazard regression were used to screen the independent risk factors affecting the prognosis of non-small cell lung cancer and establish a prognostic model for 1, 3, and 5 years. The validation set was used to verify its performance. Finally, the Kaplan-Meier curve was used to assess the survival rate, and the corresponding nomogram was established for clinical use. After screening, no effective indicators were found in the stage I/II operable group. RDW and CA125 were effective indicators for the stage III operable group (cut-off values were 14.1 and 9.21, respectively, compared with the low-value group; univariate HR was 2.145 and 1.612, and multivariate HR was 1.491 and 1.691, respectively). CYRFA21-1 and CA125 were effective prognostic indicators for the stage III inoperable group (cut-off values were 10.62 and 44.10, respectively, compared with the low-value group; univariate HR was 1.744 and 1.342, and multivariate HR was 1.284 and 1.304, respectively). CYRFA21-1, CA125, NLR, and α1-globulin were effective indicators of prognosis in stage IV (cut-off values were 3.07, 69.60, 4.08, and 5.30, respectively, compared with the low-value group; univariate HR was 1.713, 1.339, 1.388, and 1.539; and multivariate HR was 1.407, 1.119, 1.191, and 1.110, respectively). The model was constructed with the best validation power in stage IV patients (C-index = 0.733, 0.749, and 0.75 at 1, 3, and 5 years, respectively). For patients with stage III and IV non-small cell lung cancer, some inflammatory markers, serum tumor markers, and nutritional indicators are independent prognostic factors. Combined with the general data of patients, the constructed prognostic evaluation model has the best efficacy in patients with stage IV and can be widely used in clinical practice.