Non-small cell lung cancer (NSCLC) is one of the most threatening malignancies to human health and life. In most cases, patients with NSCLC are already at an advanced stage when they are diagnosed. In recent years, lung cancer has made great progress in precision therapy, but the efficacy of immunotherapy is unstable, and its response rate varies from patient to patient. Several biomarkers have been proposed to predict the outcomes of immunotherapy, such as programmed cell death-ligand 1 (PD-L1) expression and tumor mutational burden (TMB). Nevertheless, the detection assays are invasive and demanding on tumor tissue. To effectively predict the outcomes of immunotherapy, novel biomarkers are needed to improve the performance of conventional biomarkers. Liquid biopsy is to capture and detect circulating tumor cells (CTCs), circulating tumor DNA (ctDNA) and exosomes in body fluids, such as blood, saliva, urine, pleural fluid and cerebrospinal fluid as samples from patients, so as to make analysis and diagnosis of cancer and other diseases. The application of liquid biopsy provides a new possible solution, as it has several advantages such as non-invasive, real-time dynamic monitoring, and overcoming tumor heterogeneity. Liquid biopsy has shown predictive value in immunotherapy, significantly improving the precision treatment of lung cancer patients. Herein, we review the application of liquid biopsy in predicting the outcomes of immunotherapy in NSCLC patients, and discuss the challenges and future directions in this field.