Reliable predictors of benefit from immune checkpoint inhibitors in non-small-cell lung cancer (NSCLC) are still limited. We aimed to evaluate the association between the expression of selected molecules involved in immune response and clinical outcomes in NSCLC patients receiving nivolumab. In our study, the outcomes of 46 NSCLC patients treated with nivolumab in second or subsequent lines (Nivolumab Cohort) were compared with the expression of PD-L1, PD-L2, PD-1, B7-H3, and B7-H4 assessed by immunohistochemistry (IHC). Samples from 17 patients (37.0%) in the Nivolumab Cohort were positive for B7-H4 expression. At univariate analyses, only B7-H4 expression was associated with significantly decreased progression-free survival (PFS; 1.7 vs. 2.0 months; p = 0.026) and with a disadvantage in terms of overall survival (OS) close to statistical significance (4.4 vs. 9.8 months; p = 0.064). At multivariate analyses, B7-H4 expression was significantly associated with decreased PFS (hazard ratio (HR) = 2.28; p = 0.021) and OS (HR = 2.38; p = 0.022). Subsequently, B7-H4 expression was compared with clinical outcomes of 27 NSCLC patients receiving platinum-based chemotherapy (Chemotherapy Cohort), but no significant association was observed. Our results suggest a negative predictive role of B7-H4 in a population of NSCLC treated with immune checkpoint inhibitors, which deserves further research.