The treatment of advanced non-small cell lung cancer (NSCLC) has been revolutionized by immune checkpoint inhibitors (ICIs). The identification of prognostic and predictive factors in ICIs-treated patients is presently challenging. Circulating tumor cells (CTCs) and cell-free DNA (cfDNA) were evaluated in 89 previously treated NSCLC patients receiving nivolumab. Blood samples were collected before therapy and at the first and second radiological response assessments. CTCs were isolated by a filtration-based method. cfDNA was extracted from plasma and estimated by quantitative PCR. Patients with baseline CTC number and cfDNA below their median values (2 and 836.5 ng from 3 mL of blood and plasma, respectively) survived significantly longer than those with higher values (p = 0.05 and p = 0.04, respectively). The two biomarkers were then used separately and jointly as time-dependent covariates in a regression model confirming their prognostic role. Additionally, a four-fold risk of death for the subgroup presenting both circulating biomarkers above the median values was observed (p < 0.001). No significant differences were found between circulating biomarkers and best response. However, progressing patients with concomitant lower CTCs and cfDNA performed clinically well (p = 0.007), suggesting that jointed CTCs and cfDNA might help discriminate a low-risk population which might benefit from continuing ICIs beyond progression.