Background: Prospective studies evaluating the challenges of systematically assessing health-related quality of life in patients with cancer outside clinical trials are lacking. This study aimed to evaluate the quality of life of patients with cancer treated with immunotherapy such as checkpoint inhibitors and to determine the difficulties and limitations in achieving data collection from health-related quality of life questionnaires. Methods: We carried out a prospective observational study over 15 months in 30 patients with solid tumors undergoing checkpoint inhibitor therapy in an outpatient setting. We assessed health-related quality of life using the European Organization for Research and Treatment of Cancer QLQ-C30 quality of life questionnaire at treatment initiation, three months, and six months. We analyzed compliance rates, reported difficulties, and treatment-related toxicities. Results: Of the 30 patients, 26 completed the health-related quality of life standardized questionnaire at one month (86.6%), 24 at three months (80%), and 18 at six months (56.6%). Patients receiving checkpoint inhibitor monotherapy showed an improvement in global health status scores from 60 at baseline to 65 at three months and 70.8 at six months. These findings suggest that checkpoint inhibitor therapy delays symptom onset and positively impacts quality of life. Fatigue was the most frequently reported adverse effect, followed by pain, dyspnea, and gastrointestinal symptoms. Conclusions: Checkpoint inhibitor treatments may delay the onset of cancer-related symptoms, positively influencing patient-reported health-related quality of life (HRQoL) outcomes. However, this study highlights significant methodological challenges in collecting standardized HRQoL questionnaire data outside of clinical trials, including declining patient compliance over time. These findings underscore the need for adapted HRQoL assessment strategies tailored to the unique treatment trajectories of immunotherapy patients.