Immune checkpoint blockade has influenced the course of cancer treatment with improved Overall Survival (OS) and durable responses in many malignancies. Despite these responses, their mechanism of action has brought different set of adverse events that are severe and life-threatening in a subset of patients. Moreover, not all patients have shown to benefit from this treatment although their tumors express U.S. Federal and Drug Administration (FDA) approved biomarkers i.e programmed cell Death Protein 1 (PD-1) and its ligand (PD-L1), Microsatellite Instability (MSI) and Tumor Mutation Burden (TMB). Limitations of these markers has stimulated further research to identify and incorporate other markers that could serve as an adjunct to the current approved ones. Circulating inflammatory cells are among biomarkers that have shown to have a prognostic and predictive value in determining treatment response to Immune Checkpoint Inhibitors (ICI) and risk of Immune-Related Adverse Events (irAEs). This review aims to provide more details on the key inflammatory cells that play a pivotal role in cancer progression and inhibition and how their interaction in the tumor micro-environment (TME) affects response to immune checkpoint blockade and predicting irAEs. Moreover examples of prognostic models that have incorporated these cells will be highlighted.