With the introduction of immune checkpoint inhibitors (ICIs) and next-generation vascular endothelial growth factor receptor–tyrosine kinase inhibitors (VEGFR–TKIs), the survival of patients with advanced renal cell carcinoma (RCC) has improved remarkably. However, not all patients have benefited from treatments, and to date, there are still no validated biomarkers that can be included in the therapeutic algorithm. Thus, the identification of predictive biomarkers is necessary to increase the number of responsive patients and to understand the underlying immunity. The clinical outcome of RCC patients is, in fact, associated with immune response. In this exploratory pilot study, we assessed the immune effect of TKI therapy in order to evaluate the immune status of metastatic renal cell carcinoma (mRCC) patients so that we could define a combination of immunological biomarkers relevant to improving patient outcomes. We profiled the circulating levels in 20 mRCC patients of exhausted/activated/regulatory T cell subsets through flow cytometry and of 14 immune checkpoint-related proteins and 20 inflammation cytokines/chemokines using multiplex Luminex assay, both at baseline and during TKI therapy. We identified the CD3+CD8+CD137+ and CD3+CD137+PD1+ T cell populations, as well as seven soluble immune molecules (i.e., IFNγ, sPDL2, sHVEM, sPD1, sGITR, sPDL1, and sCTLA4) associated with the clinical responses of mRCC patients, either modulated by TKI therapy or not. These results suggest an immunological profile of mRCC patients, which will help to improve clinical decision-making for RCC patients in terms of the best combination of strategies, as well as the optimal timing and therapeutic sequence.