Background: Endocrine hormones influence tumor progression and the response to treatment. Despite the importance of immune checkpoint inhibitors (ICIs) as treatments for advanced non-small cell lung cancer (NSCLC), few studies have explored the effects of hormone levels in NSCLC patients on the effectiveness of ICI therapies. We thus investigated the effects of baseline blood markers in patients with advanced NSCLC on ICI treatments. Methods: Patients with advanced NSCLC who received programmed cell death protein 1 (PD-1)/programmed death-ligand 1 (PD-L1) inhibitors at Chungnam National University Hospital between December 2016 and November 2020 and who lacked any history of thyroid gland-related diseases were analyzed retrospectively. We collected clinical information and baseline laboratory data, including the levels of endocrine hormones, cytokines, complete blood counts (CBCs), and peripheral blood chemistry panels. We explored the relationships of hormone levels with clinical outcomes (overall survival [OS], progression-free survival [PFS], and best response), liver metastasis, and blood markers using the Kaplan–Meier method, Cox’s proportional hazards regression, and logistic regression. Results: A total of 113 patients were enrolled. A shorter PFS was independently associated with liver metastasis, higher cortisol levels, and lower hemoglobin (Hb) levels; a shorter OS was associated with liver metastasis, lower tri-iodothyronine (T3) levels, higher lactate dehydrogenase (LDH) levels, and lower albumin levels. Patients with low T3 levels exhibited a shorter PFS and OS, and a poorer best response. Patients with low T3 levels tended to have higher disease progression rates, lower levels of adrenocorticotropic hormone (ACTH), C-peptide, albumin, Hb, and neutrophil-to-lymphocyte ratio, and higher levels of interleukin (IL)-6, white blood cells, platelets, compared with those with normal T3 levels. We found a significant association between a low T3 level and liver metastasis. Conclusions: We found the baseline T3 level was associated with both prognosis and the response to ICIs in patients with advanced NSCLC, probably reflecting impaired liver function and systemic inflammation induced by the interaction of T3 with other biomarkers, such as IL-6, ACTH, cortisol, C-peptide, Hb, LDH, and albumin.