Neoadjuvant immunotherapy has emerged as a promising approach in the treatment of various malignancies, with preclinical studies showing improved immune responses in the preoperative setting. FDA-approved neoadjuvant-immunotherapy-based approaches include triple-negative breast cancer and early non-small cell lung cancer on the basis of improvement in pathological response and event free survival. Nevertheless, current trials have only shown benefits in a fraction of patients. It is therefore crucial to identify predictive biomarkers to improve patient selection for such approaches. This review aims to provide an overview of potential biomarkers of neoadjuvant immunotherapy in early triple-negative breast cancer, bladder cancer, melanoma, non-small cell lung cancer, colorectal cancer and gastric cancer. By the extrapolation of the metastatic setting, we explore known predictive biomarkers, i.e., PD-L1, mismatch repair deficiency and tumour mutational burden, as well as potential early-disease-specific biomarkers. We also discuss the challenges of identifying reliable biomarkers and the need for standardized protocols and guidelines for their validation and clinical implementation.