Over the recent years, advances in the development of anti-cancer treatments, particularly the implementation of ICIs (immune checkpoint inhibitors), have resulted in increased survival rates in NSCLC (non-small cell lung cancer) patients. However, a significant proportion of patients does not seem respond to immunotherapy, and some individuals even develop secondary resistance to treatment. Therefore, it is imperative to correctly identify the patients that will benefit from ICI therapy in order to tailor therapeutic options in an individualised setting, ultimately benefitting both the patient and the health system. Many different biomarkers have been explored to correctly stratify patients and predict response to immunotherapy, but liquid biopsy approaches have recently arisen as an interesting opportunity to predict and monitor treatment response due to their logistic accessibility. This review summarises the current data and efforts in the field of ICI response biomarkers in NSCLC patients and highlights advantages and limitations as we discuss the road to clinical implementation.