Radiotherapy (RT) and chemotherapy can induce immune responses, but not much is known regarding treatment-induced immune changes in patients. This exploratory study aimed to identify potential prognostic and predictive immune-related proteins associated with progression-free survival (PFS) in patients with non-small cell lung cancer (NSCLC). In this prospective study, patients with stage I NSCLC treated with stereotactic body radiation therapy (n = 26) and patients with stage III NSCLC treated with concurrent chemoradiotherapy (n = 18) were included. Blood samples were collected before (v1), during (v2), and after RT (v3). In patients with stage I NSCLC, CD244 (HR: 10.2, 95% CI: 1.8–57.4) was identified as a negative prognostic biomarker. In patients with stage III NSCLC, CR2 and IFNGR2 were identified as positive prognostic biomarkers (CR2, HR: 0.00, 95% CI: 0.00–0.12; IFNGR2, HR: 0.04, 95% CI: 0.00–0.46). In addition, analysis of the treatment-induced changes of circulating protein levels over time (Δv2/v3−v1) also identified CXCL10 and IL-10 as negative predictive biomarkers (CXCL10, HR: 3.86, 95% CI: 1.0–14.7; IL-10, HR: 16.92 (2.74–104.36)), although serum-induced interferon (IFN) response was a positive prognostic. In conclusion, we identified several circulating immunogenic proteins that are correlated with PFS in patients with stage I and stage III NSCLC before and during treatment.