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An emerging clinical need is represented by identifying reliable biomarkers able to discriminate between responders and non-responders among patients showing imaging progression during the administration of immune checkpoints inhibitors for advanced non-small cell lung cancer (NSCLC). In the present study, we analyzed the prognostic power of peripheral-blood systemic inflammation indexes and 18F-fluorodeoxyglucose positron emission tomography/computed tomography (FDG PET/CT) in this clinical setting. In 45 patients showing radiological progression (defined as RECIST 1.1 progressive disease) during Nivolumab administration, the following lab and imaging parameters were collected: neutrophil-to-lymphocyte ratio (NLR), derived-NLR (dNLR), lymphocyte-to-monocyte ratio (LMR), platelets-to-lymphocyte ratio (PLR), systemic inflammation index (SII), maximum standardized uptake value, metabolic tumor volume (MTV), and total lesion glycolysis (TLG). MTV and SII independently predicted OS. Their combination in the immune metabolic prognostic index (IMPI) allowed the identification of patients who might benefit from immunotherapy continuation, despite radiological progression. The combination of FDG PET/CT volumetric data with SII also approximates the immune-metabolic response with respect to baseline, providing additional independent prognostic insights. In conclusion, the degree of systemic inflammation, the quantification of the metabolically active tumor burden, and their combination might disclose the radiological progression in NSCLC patients receiving Nivolumab.