Background: The Gustave Roussy Immune (GRIm)-Score takes into account neutrophil-to-lymphocyte ratio (NLR), serum albumin concentration and lactate dehydrogenase (LDH) and its prognostic value has been investigated in patients treated with immune check-point inhibitors (ICIs). To further assess the prognostic and predictive value of baseline GRIm-Score (GRImT0) in advanced non-small cell lung cancer (aNSCLC) patients, we separately investigated two cohorts of patients treated with first-line pembrolizumab or chemotherapy. We also investigated whether GRIm-Score at 45 days since treatment initiation (GRImT1) and GRIm-Score difference between the two timepoints may better predict clinical outcomes (GRImΔ = GRImT0 − GRImT1). Methods: We retrospectively evaluated 222 aNSCLC patients: 135 treated with pembrolizumab and 87 treated with chemotherapy as the first-line regimen. NLR, serum albumin and LDH concentrations were assessed at T0 and at T1. According to the GRIm-Score, patients were assigned 1 point if they had NLR > 6, LDH > upper limit normal or albumin < 3.5 g/dL. Patients with a GRIm-Score < 2 were considered as having a low Score. Results: In both cohorts, no difference in terms of overall survival (OS) between patients with low and high GRImT0 was found. Otherwise, median OS and progression free survival (PFS) of the low GRImT1 group were significantly longer than those of the high GRImT1 group in pembrolizumab-treated patients, but not in the CHT cohort (pembrolizumab cohort: low vs. high; median OS not reached vs. 9.2 months, p = 0.004; median PFS 10.8 vs. 2.3 months, p = 0.002). Patients receiving pembrolizumab with stable/positive GRImΔ had better OS (median OS not reached vs. 12.0 months, p < 0.001), PFS (median PFS 20.6 vs. 2.6 months, p < 0.001) and objective response rate (58.2% vs. 7.6%, p = 0.003) compared to patients with negative GRImΔ. Conclusion: Our data shown that GRImT1 and GRImΔ are more reliable peripheral blood biomarkers of outcome compared to GRImT0 in aNSCLC patients treated with pembrolizumab and might represent useful biomarkers to drive clinical decisions in this setting.