The kidney is one of the main organs affected by the autoimmune disease systemic lupus erythematosus. Lupus nephritis (LN) concerns 30–60% of adult SLE patients and it is significantly associated with an increase in the morbidity and mortality. The definitive diagnosis of LN can only be achieved by histological analysis of renal biopsies, but the invasiveness of this technique is an obstacle for early diagnosis of renal involvement and a proper follow-up of LN patients under treatment. The use of urine for the discovery of non-invasive biomarkers for renal disease in SLE patients is an attractive alternative to repeated renal biopsies, as several studies have described surrogate urinary cells or analytes reflecting the inflammatory state of the kidney, and/or the severity of the disease. Herein, we review the main findings in the field of urine immune-related biomarkers for LN patients, and discuss their prognostic and diagnostic value. This manuscript is focused on the complement system, antibodies and autoantibodies, chemokines, cytokines, and leukocytes, as they are the main effectors of LN pathogenesis.