Antitumor immune responses induced by immune checkpoint inhibitors anti-PD-1 or anti-PD-L1 have been used as therapeutic strategies in advanced non-small cell lung cancer (NSCLC) patients over the last decade. Favorable antitumor activity to immune checkpoint inhibitors is correlated with high PD-L1 expression, increased tumor-infiltrating lymphocytes, and decreased suppressive immune cells including Treg cells, myeloid-derived suppressor cells, or tumor-associated macrophages in various cancer types. In this study, we investigated the potential correlation between clinical outcomes and peripheral blood immune cell profiles, specifically focused on FoxP3+ Treg cells, collected at baseline and one week after anti-PD-1 therapy in two independent cohorts of patients with NSCLC: a discovery cohort of 83 patients and a validation cohort of 49 patients. High frequencies of circulating Treg cells one week after anti-PD-1 therapy were correlated with a high response rate, longer progression-free survival, and overall survival. Furthermore, high levels of TGF-β and Treg cells were associated with favorable clinical outcomes. Our results suggest that higher levels of FoxP3+ Treg cells and TGF-β can predict a favorable response to anti-PD-1 immunotherapy in patients with advanced NSCLC.