The remarkable success of immune checkpoint inhibitors (ICIs) has given hope of cure for some patients with advanced cancer; however, the fraction of responding patients is 15–35%, depending on tumor type, and the proportion of durable responses is even smaller. Identification of biomarkers with strong predictive potential remains a priority. Until now most of the efforts were focused on biomarkers associated with the assumed mechanism of action of ICIs, such as levels of expression of programmed death-ligand 1 (PD-L1) and mutation load in tumor tissue, as a proxy of immunogenicity; however, their performance is unsatisfactory. Several assays designed to capture the complexity of the disease by measuring the immune response in tumor microenvironment show promise but still need validation in independent studies. The circulating proteome contains an additional layer of information characterizing tumor–host interactions that can be integrated into multivariate tests using modern machine learning techniques. Here we describe several validated serum-based proteomic tests and their utility in the context of ICIs. We discuss test performances, demonstrate their independence from currently used biomarkers, and discuss various aspects of associated biological mechanisms. We propose that serum-based multivariate proteomic tests add a missing piece to the puzzle of predicting benefit from ICIs.