Identification of the different elements intervening at the tumor microenvironment seems key to explain clinical evolution in several tumor types. In this study, a set of immune biomarkers (myeloid derived suppressor cells, regulatory T cells, and OX40 + and PD-1 + T lymphocytes counts) in peripheral blood of patients diagnosed with advanced breast cancer were analyzed along of first line antineoplastic therapy. Subsequently, a comparison between groups with clinical benefit versus progression of disease and with a healthy women cohort was executed. Results reflected that patients showed higher basal levels of myeloid derived suppressor cells (35.43, IR = 180.73 vs 17.53, IR = 16.96 cells/μl; p = 0.001) and regulatory T cells (32.05, IR = 29.84 vs 22.61, IR = 13.57 cells/μl; p = 0.001) in comparison with healthy women. Furthermore, an increase in the number of activated T lymphocytes (expressing OX40), a decrease of immune inhibitory cells (MDSCs and Tregs) and inhibited T lymphocytes (expressing PD-1) were observed along the treatment in patients with clinical benefit (p ≤ 0.001). The opposite trend was observed in the case of disease progression. These findings suggest that some critical immune elements can be easily detected and measured in peripheral blood, which open a new opportunity for translational research, as they seem to be correlated with clinical evolution, at least in ABC.