The clinical outcome of patients with muscle-invasive bladder cancer (MIBC) is poor despite the approval of neoadjuvant chemotherapy or immunotherapy to improve overall survival after cystectomy. MIBC subtypes, immune, transcriptome, metabolomic signatures, and mutation burden have the potential to predict treatment response but none have been incorporated into clinical practice, as tumor heterogeneity and lineage plasticity influence their efficacy. Using the PRISMA statement, we conducted a systematic review of the literature, involving 135 studies published within the last five years, to identify studies reporting on the prognostic value of protein-based biomarkers for response to neoadjuvant therapy in patients with MIBC. The studies were grouped based on biomarkers related to molecular subtypes, cancer stem cell, actin-cytoskeleton, epithelial–mesenchymal transition, apoptosis, and tumor-infiltrating immune cells. These studies show the potential of protein-based biomarkers, especially in the spatial context, to reduce the influence of tumor heterogeneity on a biomarker’s prognostic capability. Nevertheless, currently, there is little consensus on the methodology, reagents, and the scoring systems to allow reliable assessment of the biomarkers of interest. Furthermore, the small sample size of several studies necessitates the validation of potential prognostic biomarkers in larger multicenter cohorts before their use for individualizing neoadjuvant therapy regimens for patients with MIBC.