Background: This study explores the association of neutrophil-to-lymphocyte (NLR), monocyte-to-lymphocyte (MLR), and platelet-to-lymphocyte (PLR) ratios with the 3-month treatment response and persistence of tumor necrosis factor-alpha (TNF-α) blockers in patients with ankylosing spondylitis (AS). Methods: This retrospective cohort study investigated 279 AS patients who were newly initiated on TNF-α blockers between April 2004 and October 2019 and 171 sex- and age-matched healthy controls. Response to TNF-α blockers was defined as a reduction in the Bath AS Disease Activity Index of ≥50% or 20 mm, and persistence referred to the time interval from the initiation to discontinuation of TNF-α blockers. Results: Patients with AS had significantly increased NLR, MLR, and PLR ratios as compared to controls. The frequency of non-response at 3 months was 3.7%, and TNF-α blockers’ discontinuation occurred in 113 (40.5%) patients during the follow-up period. A high baseline NLR but not high baseline MLR and PLR showed an independently significant association with a higher risk of non-response at 3 months (OR = 12.3, p = 0.025) and non-persistence with TNF-α blockers (HR = 1.66, p = 0.01). Conclusions: NLR may be a potential marker for predicting the clinical response and persistence of TNF-α blockers in AS patients.