The treatment of non-small cell lung cancer (NSCLC) has changed dramatically with the advent of immune checkpoint inhibitors (ICIs). Despite encouraging results, their efficacy remains limited to a subgroup of patients. Circulating immune checkpoints in soluble (s) form and associated with extracellular vesicles (EVs) represent promising markers, especially in ICI-based therapeutic settings. We evaluated the prognostic role of PD-L1 and of two B7 family members (B7-H3, B7-H4), both soluble and EV-associated, in a cohort of advanced NSCLC patients treated with first- (n = 56) or second-line (n = 126) ICIs. In treatment-naïve patients, high baseline concentrations of sPD-L1 (>24.2 pg/mL) were linked to worse survival, whereas high levels of sB7-H3 (>0.5 ng/mL) and sB7-H4 (>63.9 pg/mL) were associated with better outcomes. EV characterization confirmed the presence of EVs positive for PD-L1 and B7-H3, while only a small portion of EVs expressed B7-H4. The comparison between biomarker levels at the baseline and in the first radiological assessment under ICI-based treatment showed a significant decrease in EV-PD-L1 and an increase in EV-B7H3 in patients in the disease response to ICIs. Our study shows that sPD-L1, sB7-H3 and sB7-H4 levels are emerging prognostic markers in patients with advanced NSCLC treated with ICIs and suggests potential EV involvement in the disease response to ICIs.