The development of cancer immunotherapy in the last decade has followed a vertiginous rhythm. Nowadays, immune checkpoint inhibitors (ICI) which include anti-CTLA4, anti-PD-1 and anti-PD-L1 antibodies are in clinical use for the treatment of numerous cancers. However, approximately only a third of the patients benefit from ICI therapies. Many efforts have been made for the identification of biomarkers allowing patient stratification into potential responders and progressors before the start of ICI therapies or for monitoring responses during treatment. While much attention is centered on biomarkers from the tumor microenvironment, in many cases biopsies are not available. The identification of systemic immune cell subsets that correlate with responses could provide promising biomarkers. Some of them have been reported to influence the response to ICI therapies, such as proliferation and activation status of CD8 and CD4 T cells, the expression of immune checkpoints in peripheral blood cells and the relative numbers of immunosuppressive cells such as regulatory T cells and myeloid-derived suppressor cells. In addition, the profile of soluble factors in plasma samples could be associated to response or tumor progression. Here we will review the cellular subsets associated to response or progression in different studies and discuss their accuracy in diagnosis.