Cancer cachexia is associated with poor immunotherapeutic outcomes. This prospective observational study longitudinally evaluated the role of cachexia-related circulating cytokines in predicting the risk and benefit of PD-1/PD-L1 blockade in advanced lung cancer. Forty-one circulating cytokines at baseline and after one cycle of PD-1/PD-L1 blockade treatment were measured in patients with advanced lung cancer between 2019 and 2020. The cachexia-related cytokines were identified by comparing the levels of circulating cytokines between cachectic and non-cachectic patients. Among 55 patients, 49.1% were diagnosed with cachexia at the beginning of PD-1/PD-L1 blockade therapy. Baseline levels of the circulating cytokines IL-6, IL-8, IL-10, IL-15, and IP-10 were significantly higher in cachectic patients. In contrast, the level of eotaxin-1 was lower in cachectic patients than in those without cachexia. Higher IL-6 at baseline and during treatment was associated with a greater risk of immune-related adverse events, while higher IL-10 at baseline was linked to worse overall survival. More importantly, increased eotaxin-1 after one cycle of PD-1/PD-L1 blockade treatment was associated with higher objective response and better overall survival. A blood-based, cachexia-related cytokine assay may yield potential biomarkers for the early prediction of clinical response to PD-1/PD-L1 blockade and provide clues for improving the outcomes of cachectic patients.