Unresectable recurrent and/or metastatic head and neck squamous cell carcinoma (R/M HNSCC) has a very poor prognosis. Soluble immune checkpoints (sICs) are circulating proteins that result from the alternative splicing of membrane proteins and can modulate the immune response to cancer cells. The aim of our pilot study was to determine the possible role of a comprehensive evaluation of sICs in the classification of prognosis and response to treatment in patients with advanced disease. We evaluated several sICs (CD137, CTLA-4, PD-1, PD-L1, PD-L2, TIM3, LAG3, GITR, HVEM, BTLA, IDO, CD80, CD27, and CD28) from peripheral blood at baseline and investigated the association with clinical characteristics and outcomes. A high baseline soluble LAG3 (sLAG3 > 377 pg/mL) resulted in an association with poor PFS and OS (p = 0.047 and p = 0.003, respectively). Moreover, sLAG3 emerged as an independent prognostic factor using an MVA (p = 0.005). The evaluation of sICs, in particular sLAG3, may be relevant for identifying patients with worse prognoses, or resistance to treatments, and may lead to the development of novel targeted strategies.