In recent years, the evolution of treatments has made it possible to significantly improve the outcomes of patients with non-small cell lung cancer (NSCLC). In particular, while molecular targeted therapies are effective in specific patient sub-groups, immune checkpoint inhibitors (ICIs) have greatly influenced the outcomes of a large proportion of NSCLC patients. While nivolumab activity was initially assessed irrespective of predictive biomarkers, subsequent pivotal studies involving other PD-1/PD-L1 inhibitors in pre-treated advanced NSCLC (atezolizumab within the OAK study and pembrolizumab in the Keynote 010 study) reported the first correlations between clinical outcomes and PD-L1 expression. However, PD-L1 could not be sufficient on its own to select patients who may benefit from immunotherapy. Many studies have tried to discover more precise markers that are derived from tumor tissue or from peripheral blood. This review aims to analyze any characteristics of the immunogram that could be used as a predictive biomarker for response to ICIs. Furthermore, we describe the most important genetic alteration that might predict the activity of immunotherapy.