This study aims at identifying molecular biomarkers differentiating responders and non-responders to treatment with Tumor Necrosis Factor inhibitors (TNFi) among patients with axial spondyloarthritis (axSpA). Whole blood mRNA and plasma proteins were measured in a cohort of biologic-naïve axSpA patients (n = 35), pre and post (14 weeks) TNFi treatment with adalimumab. Differential expression analysis was used to identify the most enriched pathways and in predictive models to distinguish responses to TNFi. A treatment-associated signature suggests a reduction in inflammatory activity. We found transcripts and proteins robustly differentially expressed between baseline and week 14 in responders. C-reactive protein (CRP) and Haptoglobin (HP) proteins showed strong and early decrease in the plasma of axSpA patients, while a cluster of apolipoproteins (APOD, APOA2, APOA1) showed increased expression at week 14. Responders to TNFi treatment present higher levels of markers of innate immunity at baseline, and lower levels of adaptive immunity markers, particularly B-cells. A logistic regression model incorporating ASDAS-CRP, gender, and AFF3, the top differentially expressed gene at baseline, enabled an accurate prediction of response to adalimumab in our cohort (AUC = 0.97). In conclusion, innate and adaptive immune cell type composition at baseline may be a major contributor to response to adalimumab in axSpA patients. A model including clinical and gene expression variables should also be considered.