The development of changes in T cells, referred to as T cell exhaustion, has been suggested as a cause of primary or acquired resistance to immunotherapy by immune checkpoint blockade (ICB). A limited number of studies, largely performed on tumor infiltrating lymphocytes (TILs), has provided evidence in support of this hypothesis, but whether similar changes occur in circulating blood lymphocytes has received little attention. In the present study, a comprehensive analysis of peripheral blood leukocytes from 42 patients taken over the course of treatment with anti-PD-1 was undertaken. The patients included those grouped as responders (who did not progress), primary non-responders (primary resistance) and those with acquired resistance (who initially responded then subsequently progressed). Analysis included surface markers of exhaustion, production of cytokines following in vitro stimulation, and assessment of transcription factor levels associated with T cell exhaustion. There were differences in innate cell populations between responders and non-responders at baseline and maintained throughout therapy. Frequencies of total and classical CD14+CD16− monocytes were higher and the major subset of NK cells (CD16hiCD56+) was significantly smaller in the primary resistance group compared with responders. However, differences in peripheral blood expression of exhaustion markers were not evident between the treatment groups. T cell exhaustion markers were expressed in practically all patients and the major observation was an increase in CD39 on CD4 T cells during treatment. The results confirm the association of Eomes transcription factor with T cell exhaustion but levels of expression and the ratio with T-bet over Eomes did not differ between the patient groups. Thus, peripheral blood expression of T cell exhaustion markers does not distinguish between responders and non-responders to anti-PD-1 therapy. CD4 T cell expression of IFNγ also differed in pre-treatment samples, indicating that predictors of response unrelated to exhaustion may be present in peripheral blood. The association of response with innate cell populations and CD4 T cell responses requires further study.