Cancer immunotherapy has recently undergone rapid advances and has become an integral part of the treatment armamentarium in various malignancies. However, tissue-based biomarker development in this arena has been slow, and valid biomarker identification to guide immunotherapeutic management is desperately needed. "Liquid" or blood-based biopsies potentially offer more convenient and efficient means to judge the immune milieu of individual patients and identify who will benefit most from immunotherapy. The following review highlights the current literature regarding the application of liquid biopsies to cancer immunotherapy.