Immunotherapy with Immune Checkpoint Inhibitors (ICIs) has demonstrated a profitable performance for Non-Small Cell Lung Cancer (NSCLC) cancer treatment in some patients; however, there is still a percentage of patients in whom immunotherapy does not provide the desired results regarding beneficial outcomes. Therefore, obtaining predictive biomarkers for ICI response will improve the treatment management in clinical practice. In this sense, liquid biopsy appears as a promising method to obtain samples in a minimally invasive and non-biased way. In spite of its evident potential, the use of these circulating biomarkers is still very limited in the real clinical practice, mainly due to the huge heterogeneity among the techniques, the lack of consensus, and the limited number of patients included in these previous studies. In this work, we review the pros and cons of the different proposed biomarkers, such as soluble PD-L1, circulating non-coding RNA, circulating immune cells, peripheral blood cytokines, and ctDNA, obtained from liquid biopsy to predict response to ICI treatment at baseline and to monitor changes in tumor and tumor microenvironment during the course of the treatment in NSCLC patients.