Simple Summary The impact of sarcopenia (i.e., progressive and generalised loss of skeletal muscle mass) and obesity on survival are substantially investigated in cancer patients. However, the relationship between sarcopenia and mortality is quite unclear in patients with lung cancer treated with immunotherapy, while the prognostic value of obesity remains controversial. These issues are potentially related to the obesity paradox and lack of precise measures of body composition on survival. As a result, we aimed to explore the associations between measures of skeletal muscle mass and adiposity (i.e., intramuscular, visceral and subcutaneous adipose tissue) and changes during treatment with disease progression and overall survival in patients with advanced lung cancer receiving immunotherapy. Our results demonstrated that rather than sarcopenia, higher intramuscular and subcutaneous adipose tissue are associated with better prognosis during immunotherapy. These findings are of great importance for clinical practice and may inform specific and tailored therapies to improve immunotherapy prognosis. To investigate the association between skeletal muscle mass and adiposity measures with disease-free progression (DFS) and overall survival (OS) in patients with advanced lung cancer receiving immunotherapy, we retrospectively analysed 97 patients (age: 67.5 +/- 10.2 years) with lung cancer who were treated with immunotherapy between March 2014 and June 2019. From computed tomography scans, we assessed the radiological measures of skeletal muscle mass, and intramuscular, subcutaneous and visceral adipose tissue at the third lumbar vertebra. Patients were divided into two groups based on specific or median values at baseline and changes throughout treatment. A total number of 96 patients (99.0%) had disease progression (median of 11.3 months) and died (median of 15.4 months) during follow-up. Increases of 10% in intramuscular adipose tissue were significantly associated with DFS (HR: 0.60, 95% CI: 0.38 to 0.95) and OS (HR: 0.60, 95% CI: 0.37 to 0.95), while increases of 10% in subcutaneous adipose tissue were associated with DFS (HR: 0.59, 95% CI: 0.36 to 0.95). These results indicate that, although muscle mass and visceral adipose tissue were not associated with DFS or OS, changes in intramuscular and subcutaneous adipose tissue can predict immunotherapy clinical outcomes in patients with advanced lung cancer.