Immune checkpoint inhibitors (ICI) are the main therapy currently used in advanced malignant melanoma (MM) and non-small cell lung cancer (NSCLC). Despite the wide variety of uses, the possibility of predicting ICI efficacy in these tumor types is scarce. The aim of our study was to find new predictive biomarkers for ICI treatment. We analyzed, by immunohistochemistry, various cell subsets, including CD3+, CD8+, CD68+, CD20+, and FoxP3+ cells, and molecules such as LAG-3, IDO1, and TGFβ. Comprehensive genomic profiles were analyzed. We evaluated 46 patients with advanced MM (31) and NSCLC (15) treated with ICI monotherapy. When analyzing the malignant melanoma group, shorter median progression-free survival (PFS) was found in tumors positive for nuclear FoxP3 in tumor-infiltrating lymphocytes (TILs) (p = 0.048, HR 3.04) and for CD68 expression (p = 0.034, HR 3.2). Longer PFS was achieved in patients with tumors with PD-L1 TPS ≥ 1 (p = 0.005, HR 0.26). In the NSCLC group, only FoxP3 positivity was associated with shorter PFS and OS. We found that FoxP3 negativity was linked with a better response to ICI in both histological groups.