Immune checkpoint inhibitors are now a cornerstone of treatment for non-small cell lung cancer (NSCLC). Tissue-based assays, such as Programmed cell death protein 1 (PD-L1) expression or mismatch repair deficiency/microsatellite instability (MMRD/MSI) status, are approved as treatment drivers in various settings, and represent the main field of research in biomarkers for immunotherapy. Nonetheless, responses have been observed in patients with negative PD-L1 or low tumor mutational burden. Some aspects of biomarker use remain poorly understood and sub-optimal, in particular tumoral heterogeneity, time-evolving sampling, and the ability to detect patients who are unlikely to respond. Moreover, tumor biopsies offer little insight into the host’s immune status. Circulating biomarkers offer an alternative non-invasive solution to address these pitfalls. Here, we summarize current knowledge on circulating biomarkers while using liquid biopsies in patients with lung cancer who receive treatment with immune checkpoint inhibitors, in terms of their potential as being predictive of outcome as well as their role in monitoring ongoing treatment. We address host biomarkers, notably circulating immune cells and soluble systemic immune and inflammatory markers, and also review tumor markers, including blood-based tumor mutational burden, circulating tumor cells, and circulating tumor DNA. Technical requirements are discussed along with the current limitations that are associated with these promising biomarkers.