The introduction of immunotherapy revolutionized the treatment landscape in metastatic melanoma. Despite the impressive results associated with immune checkpoint inhibitors (ICIs), only a portion of patients obtain a response to this treatment. In this scenario, the research of predictive factors is fundamental to identify patients who may have a response and to exclude patients with a low possibility to respond. These factors can be host-associated, immune system activation-related, and tumor-related. Patient-related factors can vary from data obtained by medical history (performance status, age, sex, body mass index, concomitant medications, and comorbidities) to analysis of the gut microbiome from fecal samples. Tumor-related factors can reflect tumor burden (metastatic sites, lactate dehydrogenase, C-reactive protein, and circulating tumor DNA) or can derive from the analysis of tumor samples (driver mutations, tumor-infiltrating lymphocytes, and myeloid cells). Biomarkers evaluating the immune system activation, such as IFN-gamma gene expression profile and analysis of circulating immune cell subsets, have emerged in recent years as significantly correlated with response to ICIs. In this manuscript, we critically reviewed the most updated literature data on the landscape of predictive factors in metastatic melanoma treated with ICIs. We focus on the principal limits and potentiality of different methods, shedding light on the more promising biomarkers.