<b><i>Background:</i></b> Despite the assumption of breast cancer (BC) as a cold, non-immunogenic tumor, immune checkpoint inhibitor (ICI) therapy is favorable for a subgroup of patients. Immunohistochemical assessment of the programmed cell death ligand 1 (PD-L1) is the only approved companion diagnostic for anti-PD-L1 therapy in metastatic triple-negative BC; however, challenges regarding the standardization of PD-L1 scoring in tumor tissue still remain. Consequently, to select patients most likely to respond to ICI, blood-based biomarkers are urgently needed. <b><i>Summary and Key Messages:</i></b> Liquid biopsy, comprising circulating immune cells, circulating tumor cells and extracellular vesicles, as well as their surface proteins, is of high potential, and these analytes were already shown to be molecular correlates or regulators of the evasion from antitumoral immune reaction. Liquid biopsy, also enabling the evaluation of tumor mutational burden (TMB), microsatellite instability, and the T-cell receptor repertoire, allows serial sampling for monitoring purposes and reflects intra-tumoral heterogeneity which qualifies as marker for immunogenicity. Only a very few studies have already elucidated the potential of these analytes as biomarkers under ICI therapy. Nonetheless, the topic is of growing interest and has high relevance for the future. However, for clinical implementation, these multifarious analytes first need to pass robust standardization and validation procedures.