Background: Not all patients with advanced non-small cell lung cancer (NSCLC) benefit from immune checkpoint inhibitors (ICIs). Therefore, we aimed to assess the predictive potential of gene expression profiling (GEP), peripheral immune cell counts, and clinical characteristics. Methods: The primary endpoint of this prospective, observational study was a durable clinical benefit (DCB) defined as progression-free survival >6 months. In a subgroup with histological biopsies of sufficient quality (n = 25), GEP was performed using the nCounter^® PanCancer IO 360 panel. Results: DCB was observed in 49% of 123 included patients. High absolute lymphocyte count (ALC) and absence of liver metastases were associated with DCB (OR = 1.95, p = 0.038 and OR = 0.36, p = 0.046, respectively). GEP showed clustering of differentially expressed genes according to DCB, and a strong association between PD-L1 assessed by GEP (CD274) and immunohistochemistry (IHC) was observed (p = 0.00013). The TGF-β, dendritic cell, and myeloid signature scores were higher for patients without DCB, whereas the JAK/STAT loss signature scores were higher for patients with DCB (unadjusted p-values < 0.05). Conclusions: ALC above 1.01 × 10⁹/L and absence of liver metastases were significantly associated with DCB in ICI-treated patients with NSCLC. GEP was only feasible in 20% of the patients. GEP-derived signatures may be associated with clinical outcomes, and PD-L1 could be assessed by GEP rather than IHC.