Objectives. Patients with head and neck squamous cell carcinoma (HNSCC) have poor prognosis and show poor responses to immune checkpoint (IC) inhibitor (ICI) therapy. Competing endogenous RNA (ceRNA) networks, tumor-infiltrating immune cells (TIICs), and ICIs may influence tumor prognosis and response rates to ICI therapy. This study is aimed at identifying prognostic and IC-related biomarkers and key TIIC signatures to improve prognosis and ICI therapy response in HNSCC patients. Methods and Results. Ninety-five long noncoding RNAs (lncRNAs), microRNAs (miRNAs), and 1746 mRNAs were identified using three independent methods. We constructed a ceRNA network and estimated the proportions of 22 immune cell subtypes. Ten ceRNAs were related to prognosis according to Kaplan–Meier analysis. Two risk signatures based, respectively, on nine ceRNAs (ANLN, CFL2, ITGA5, KDELC1, KIF23, NFIA, PTX3, RELT, and TMC7) and three immune cell types (naïve B cells, neutrophils, and regulatory T cells) via univariate Cox regression, least absolute shrinkage and selection operator, and multivariate Cox regression analyses could accurately and independently predict the prognosis of HNSCC patients. Key mRNAs in the ceRNA network were significantly correlated with naïve B cells and regulatory T cells and with stage, grade, and immune and molecular subtype. Eight IC genes exhibited higher expression in tumor tissues and were correlated with eight key mRNAs in the ceRNA network in HNSCC patients with different HPV statuses according to coexpression and TIMER 2.0 analyses. Most drugs were effective in association with expression of these key signatures (ANLN, CFL2, ITGA5, KIF23, NFIA, PTX3, RELT, and TMC7) based on GSCALite analysis. The prognostic value of key biomarkers and associations between key ceRNAs and IC genes were validated using online databases. Eight key ceRNAs were confirmed to predict response to ICI in other cancers based on TIDE analysis. Conclusions. We constructed two risk signatures to accurately predict prognosis in HNSCC. Key IC-related signatures may be associated with response to ICI therapy. Combinations of ICIs with inhibitors of eight key mRNAs may improve survival outcomes of HNSCC patients.