Dynamic changes in the blood-based biomarkers could be used as a prognostic biomarker in patients treated with immune checkpoint inhibitors (ICIs), although the data are limited. We evaluated the association between the neutrophil–lymphocyte ratio (NLR) and early NLR changes with survival in ICI-treated patients. We retrospectively evaluated the data of 231 patients with advanced-stage cancer. We recorded baseline clinical characteristics, baseline NLR and fourth-week NLR changes, and survival data. A compound prognostic score, the NLR2-CEL score, was developed with the following parameters: baseline NLR (<5 vs. ≥5), ECOG status (0 vs. ≥1), Charlson Comorbidity Index (CCI, <9 vs. ≥9), and fourth-week NLR change (10% or over NLR increase). In the multivariable analyses, higher NLR (HR: 1.743, p = 0.002), 10% or over NLR increase in the fourth week of treatment (HR: 1.807, p = 0.001), higher ECOG performance score (HR: 1.552, p = 0.006), higher LDH levels (HR: 1.454, p = 0.017), and higher CCI (HR: 1.400, p = 0.041) were associated with decreased OS. Compared to patients with the lowest scores, patients in the highest score group had significantly lower OS (HR: 7.967, 95% CI: 3.531–17.979, p < 0.001) and PFS. The composite score had moderate success for survival prediction, with an AUC of 0.702 (95% CI: 0.626–0.779, p < 0.001). We observed significantly lower survival in patients with higher baseline NLR values and increased NLR values under treatment.