The emergence of immunotherapy in oncology requires the discovery, validation and subsequent adoption of robust, sensitive and specific predictive and prognostic biomarkers for daily practice. Until now, anti-PD-L1 immunohistochemistry (IHC) on tissue sections has been the only validated companion diagnostic test for first-line immunotherapy for advanced and metastatic cancer, notably non-small-cell lung cancer (NSCLC). However, detection of this biomarker presents limitations that have stimulated the development of other biomarkers and other approaches. Within this context, the use of a liquid biopsy (LB) could provide an important complementary or alternative added value to PD-L1 IHC. In this review, we discuss how LBs have been used in the field of immuno-oncology (I-O) to predict response, relapse or adverse advents for patients undergoing immune-checkpoint inhibitor (ICI) therapy (anti-PD-1/PD-L1 and CTLA-4) and we highlight recent developments. Circulating tumor cells (CTCs), cell-free DNA (cfDNA), proteins and cytokines detected in plasma as well as circulating T-lymphocytes are discussed as potential sources for developing new I-O biomarkers. The quantification of cfDNA as a predictive biomarker, as well as its sequencing for the determination of tumor mutational burden, is already well advanced. Additionally, the quantification of PD-L1 from CTCs, bound on exosomes or free in plasma, as well as the determination of cytokines, are also being actively investigated with promising results having recently been published. Lastly, analysis of T-lymphocytes, especially by analyzing the T-cell receptor, has recently emerged as a valuable biomarker that might become relevant for the prediction of response to ICIs. While LBs have not yet been implemented in routine I-O clinical practice, recent promising data and rapidly advancing technologies indicate that this approach has the potential to soon personalize the clinical management of cancer patients receiving ICIs.