Immunotherapy has fundamentally changed the landscape of cancer treatment. However, only a subset of patients respond to immunotherapy, and a significant portion experience immune-related adverse events (irAEs). In addition, the predictive ability of current biomarkers such as programmed death-ligand 1 (PD-L1) remains unreliable and establishing better potential candidate markers is of great importance in selecting patients who would benefit from immunotherapy. Here, we focus on the role of serum-based proteomic tests in predicting the response and toxicity of immunotherapy. Serum proteomic signatures refer to unique patterns of proteins which are associated with immune response in patients with cancer. These protein signatures are derived from patient serum samples based on mass spectrometry and act as biomarkers to predict response to immunotherapy. Using machine learning algorithms, serum proteomic tests were developed through training data sets from advanced non-small cell lung cancer (Host Immune Classifier, Primary Immune Response) and malignant melanoma patients (PerspectIV test). The tests effectively stratified patients into groups with good and poor treatment outcomes independent of PD-L1 expression. Here, we review current evidence in the published literature on three liquid biopsy tests that use biomarkers derived from proteomics and machine learning for use in immuno-oncology. We discuss how these tests may inform patient prognosis as well as guide treatment decisions and predict irAE of immunotherapy. Thus, mass spectrometry-based serum proteomics signatures play an important role in predicting clinical outcomes and toxicity.