Immunotherapy has revolutionised the treatment landscape of non-small cell lung cancer (NSCLC), significantly improving survival outcomes and offering renewed hope to patients with advanced disease. However, the majority of patients experience limited long-term benefits from immune checkpoint inhibition (ICI) due to the development of primary or acquired immunotherapy resistance. Accurate predictive biomarkers for immunotherapy resistance are essential for individualising treatment strategies, improving survival outcomes, and minimising potential treatment-related harm. This review discusses the mechanisms underlying resistance to immunotherapy, addressing both cancer cell-intrinsic and cancer cell-extrinsic resistance processes. We summarise the current utility and limitations of two clinically established biomarkers: programmed death ligand 1 (PD-L1) expression and tumour mutational burden (TMB). Following this, we present a comprehensive review of emerging immunotherapy biomarkers in NSCLC, including tumour neoantigens, epigenetic signatures, markers of the tumour microenvironment (TME), genomic alterations, host–microbiome composition, and circulating biomarkers. The potential clinical applications of these biomarkers, along with novel approaches to their biomarker identification and targeting, are discussed. Additionally, we explore current strategies to overcome immunotherapy resistance and propose incorporating predictive biomarkers into an adaptive clinical trial design, where specific immune signatures guide subsequent treatment selection.