Immune checkpoint inhibitor (ICI) therapy has revolutionized the treatment of cancer, in particular lung cancer, while the introduction of predictive biomarkers from liquid biopsies has emerged as a promising tool to achieve an effective and personalized therapy response. Important progress has also been made in the molecular characterization of extracellular vesicles (EVs) and circulating tumor cells (CTCs), highlighting their tremendous potential in modulating the tumor microenvironment, acting on immunomodulatory pathways, and setting up the pre-metastatic niche. Surface antigens on EVs and CTCs have proved to be particularly useful in the case of the characterization of potential immune escape mechanisms through the expression of immunosuppressive ligands or the transport of cargos that may mitigate the antitumor immune function. On the other hand, novel approaches, to increase the expression of immunostimulatory molecules or cargo contents that can enhance the immune response, offer premium options in combinatorial clinical strategies for precision immunotherapy. In this review, we discuss recent advances in the identification of immune checkpoints using EVs and CTCs, their potential applications as predictive biomarkers for ICI therapy, and their prospective use as innovative clinical tools, considering that CTCs have already been approved by the Food and Drug Administration (FDA) for clinical use, but providing good reasons to intensify the research on both.