(1) Background: In advanced non-small cell lung cancer (aNSCLC), programmed death ligand 1 (PD-L1) remains the only biomarker for candidate patients to immunotherapy (IO). This study aimed at using artificial intelligence (AI) and machine learning (ML) tools to improve response and efficacy predictions in aNSCLC patients treated with IO. (2) Methods: Real world data and the blood microRNA signature classifier (MSC) were used. Patients were divided into responders (R) and non-responders (NR) to determine if the overall survival of the patients was likely to be shorter or longer than 24 months from baseline IO. (3) Results: One-hundred sixty-four out of 200 patients (i.e., only those ones with PD-L1 data available) were considered in the model, 73 (44.5%) were R and 91 (55.5%) NR. Overall, the best model was the linear regression (RL) and included 5 features. The model predicting R/NR of patients achieved accuracy ACC = 0.756, F1 score F1 = 0.722, and area under the ROC curve AUC = 0.82. LR was also the best-performing model in predicting patients with long survival (24 months OS), achieving ACC = 0.839, F1 = 0.908, and AUC = 0.87. (4) Conclusions: The results suggest that the integration of multifactorial data provided by ML techniques is a useful tool to select NSCLC patients as candidates for IO.