Lung cancer (LC) is one of the most prevalent cancers in both men and women and today is still characterized by high mortality and lethality. Several biomarkers have been identified for evaluating the prognosis of non-small cell lung cancer (NSCLC) patients and selecting the most effective therapeutic strategy for these patients. The introduction of innovative targeted therapies and immunotherapy with immune checkpoint inhibitors (ICIs) for the treatment of NSCLC both in advanced stages and, more recently, also in early stages, has revolutionized and significantly improved the therapeutic scenario for these patients. Promising evidence has also been shown by analyzing both micro-RNAs (miRNAs) and the lung/gut microbiota. MiRNAs belong to the large family of non-coding RNAs and play a role in the modulation of several key mechanisms in cells such as proliferation, differentiation, inflammation, and apoptosis. On the other hand, the microbiota (a group of several microorganisms found in human orgasms such as the gut and lungs and mainly composed by bacteria) plays a key role in the modulation of inflammation and, in particular, in the immune response. Some data have shown that the microbiota and the related microbiome can modulate miRNAs expression and vice versa by regulating several intracellular signaling pathways that are known to play a role in the pathogenesis of lung cancer. This evidence suggests that this axis is key to predicting the prognosis and effectiveness of ICIs in NSCLC treatment and could represent a new target in the treatment of NSCLC. In this review, we highlight the most recent evidence and data regarding the role of both miRNAs and the lung/gut microbiome in the prediction of prognosis and response to ICI treatment, focusing on the link between miRNAs and the microbiome. A new potential interaction based on the underlying modulated intracellular signaling pathways is also shown.