Immunotherapy has been proven a viable treatment option for non-small cell lung cancer (NSCLC) treatment in patients. However, some patients still do not benefit. Finding new predictive biomarkers for immunocheckpoint inhibitor (ICI) response will improve treatment management in the clinical routine. In this regard, liquid biopsy is a useful and noninvasive alternative to surgical biopsies. In the present study, we evaluated the potential diagnostic, prognostic, and predictive value of seven different soluble mediators involved in immunoregulation. Fifty-two plasma samples from advanced NSCLC treated in first-line with pembrolizumab at baseline (PRE) and at first response assessment (FR) were analyzed. In terms of diagnostic value, our results revealed that sFGL1, sGAL-3, and sGAL-1 allowed for optimal diagnostic efficacy for cancer patients. Additionally, the combination of sFGL1 and sGAL-3 significantly improved diagnostic accuracy. Regarding the predictive value to assess patients’ immune response, sCD276 levels at PRE were significantly higher in patients without tumor response (p = 0.035). Moreover, we observed that high levels of sMICB at PRE were associated with absence of clinical benefit (pembrolizumab treatment less than 6 months) (p = 0.049), and high levels of sMICB and sGAL-3 at FR are also related to a lack of clinical benefit (p = 0.027 and p = 0.03, respectively). Finally, in relation to prognosis significance, at PRE and FR, sMICB levels above the 75th percentile are related to poor progression-free survival (PFS) (p = 0.013 and p = 0.023, respectively) and overall survival (OS) (p = 0.001 and p = 0.011, respectively). An increase in sGAL3 levels at FR was associated with worse PFS (p = 0.037). Interestingly, high sGAL-3 at PRE was independently associated with PFS and OS with a hazard ratio (HR) of 2.45 (95% CI 1.14–5.25; p = 0.021) and 4.915 (95% CI 1.89–12.73; p = 0.001). In conclusion, plasma levels of sFGL1, sGAL-3, and sGAL-1 could serve as diagnostic indicators and sMICB, sCD276, and sGAL3 were linked to outcomes, suggesting their potential in assessing NSCLC under pembrolizumab treatment. Our results highlight the value of employing soluble immune biomarkers in advanced lung cancer patients treated with pembrolizumab at first-line.