This study investigated the health economic evaluations of predictive biomarker testing in solid tumours treated with immune checkpoint inhibitors (ICIs). Searching PubMed, EMBASE, and Web of Science from June 2010 to February 2022, 58 relevant articles were reviewed out of the 730 screened. The focus was predominantly on non-small cell lung cancer (NSCLC) (65%) and other solid tumours (40%). Among the NSCLC studies, 21 out of 35 demonstrated cost-effectiveness, notably for pembrolizumab as first-line treatment when preceded by PD-L1 assessment, cost-effective at a threshold of $100,000/QALY compared to the standard of care. However, for bladder, cervical, and triple-negative breast cancers (TNBCs), no economic evaluations met the affordability threshold of $100,000/QALY. Overall, the review highlights a certain degree of uncertainty about the cost-effectiveness of ICI. In particular, we found PD-L1 expression associated with ICI treatment to be a cost-effective strategy, particularly in NSCLC, urothelial, and renal cell carcinoma. The findings suggest the potential value of predictive biomarker testing, specifically with pembrolizumab in NSCLC, while indicating challenges in achieving cost-effectiveness for certain other solid tumours.