Lung cancer remains the first cause of cancer-related death despite many therapeutic innovations, including immune checkpoint inhibitors (ICI). ICI are now well used in daily practice at late metastatic stages and locally advanced stages after a chemo-radiation. ICI are also emerging in the peri-operative context. However, all patients do not benefit from ICI and even suffer from additional immune side effects. A current challenge remains to identify patients eligible for ICI and benefiting from these drugs. Currently, the prediction of ICI response is only supported by Programmed death-ligand 1 (PD-L1) tumor expression with perfectible results and limitations inherent to tumor-biopsy specimen analysis. Here, we reviewed alternative markers based on liquid biopsy and focused on the most promising biomarkers to modify clinical practice, including non-tumoral blood cell count such as absolute neutrophil counts, platelet to lymphocyte ratio, neutrophil to lymphocyte ratio, and derived neutrophil to lymphocyte ratio. We also discussed soluble-derived immune checkpoint-related products such as sPD-L1, circulating tumor cells (detection, count, and marker expression), and circulating tumor DNA-related products. Finally, we explored perspectives for liquid biopsies in the immune landscape and discussed how they could be implemented into lung cancer management with a potential biological–driven decision.