Immunotherapy (IO), involving the use of immune checkpoint inhibition, achieves improved response-rates and significant disease-free survival for some cancer patients. Despite these beneficial effects, there is poor predictability of response and substantial rates of innate or acquired resistance, resulting in heterogeneous responses among patients. In addition, patients can develop life-threatening adverse events, and while these generally occur in patients that also show a tumor response, these outcomes are not always congruent. Therefore, predicting a response to IO is of paramount importance. Traditionally, tumor tissue analysis has been used for this purpose. However, minimally invasive liquid biopsies that monitor changes in blood or other bodily fluid markers are emerging as a promising cost-effective alternative. Traditional biomarkers have limitations mainly due to difficulty in repeatedly obtaining tumor tissue confounded also by the spatial and temporal heterogeneity of tumours. Liquid biopsy has the potential to circumvent tumor heterogeneity and to help identifying patients who may respond to IO, to monitor the treatment dynamically, as well as to unravel the mechanisms of relapse. We present here a review of the current status of molecular markers for the prediction and monitoring of IO response, focusing on the detection of these markers in liquid biopsies. With the emerging improvements in the field of liquid biopsy, this approach has the capacity to identify IO-eligible patients and provide clinically relevant information to assist with their ongoing disease management.