The incorporation into clinical practice of immune-checkpoint inhibitors (ICIs), such as those targeting the cytotoxic T lymphocyte-associated antigen 4 (CTLA-4) and the programmed cell death 1 (PD-1) and its ligand (PD-L1), has represented a major breakthrough in non-small cell lung cancer (NSCLC) treatment, especially in cases where the cancer has no druggable genetic alterations. Despite becoming the standard of care in certain clinical settings, either alone or in combination with chemotherapy, a proportion of patients do not respond while others actually progress during treatment. Therefore, there is a clinical need to identify accurate predictive biomarkers and to develop novel therapeutic strategies based on ICIs. Although they have limitations, the current markers evaluated to select which patients will undergo ICI treatment are the levels of PD-L1 and the tumor mutational burden. In this paper we describe what is currently known about the dynamic interaction between the cancer cell and the immune system during carcinogenesis, with a particular focus on the description of the functions and gene alterations that preclude the host immunoresponse in NSCLC. We emphasize the deleterious gene alterations in components of the major histocompatibility complex (HLA-I or B2M) and of the response to IFNγ (such as JAK2) which are mutually exclusive and can affect up to one fifth of the NSCLCs. The participation of other gene alterations, such as those of common oncogenes and tumor suppressors, and of the epigenetic alterations will also be discussed, in detail. Finally, we discuss the potential use of the tumor's genetic profile to predict sensitivity to ICIs.