Background Currently used biomarkers for immunotherapy are inadequate because they are only based on tumor properties. In view of microenvironment changes by tumors, host immunity should be considered, which may result in identifying more accurate and easily detectable biomarkers for daily clinical practice. Here, we assessed serum immune‐modulating factor levels for the response to anti‐PD‐1 antibodies during the first cycle in non‐small cell lung cancer (NSCLC) patients. Methods Serum was collected from patients with advanced NSCLC treated with nivolumab or pembrolizumab at several time points during the first cycle. We applied the enzyme‐linked immunosorbent assays (ELISAs) and multiplex assays to measure the levels of immune modulators. Results A total of 40 patients treated with nivolumab and 26 patients treated with pembrolizumab were studied. By ELISA, serum perforin, but not granzyme B, was measured in all samples. By multiplex assay, 10 immune modulators, including granzyme B, were measured in some, but not all, samples. Serum baseline perforin levels were strongly associated with increased progression‐free survival (PFS) and overall survival (OS) times. Sequential changes in perforin levels during the first cycle were weakly associated with the clinical outcome. Conclusions Serum baseline perforin levels may be used to predict the prognosis of NSCLC patients treated with anti‐PD‐1 antibody therapy. Key points To identify a useful predictive marker for anti‐PD‐1 antibody therapy, using blood samples might be helpful. Serum baseline perforin levels were closely associated with prognosis with anti‐PD‐1 antibody therapy in non‐small cell lung cancer. This study demonstrates immune‐modulator changes in serum during the first cycle of anti‐PD‐1 antibody therapy in non‐small cell lung cancer. Serum baseline perforin levels were found to be closely associated with clinical outcome with anti‐PD‐1 antibody therapies.