Background: Immunochemotherapy (ICT) is considered standard in regards to care for small-cell lung cancer (SCLC) in extensive stages, yet reliable biomarkers for treatment response remain elusive. While previous univariate analyses suggest specific peripheral lymphocyte subsets correlate with survival, the systemic immune response involves complex, multivariate interactions that require advanced analytical approaches. Methods: This paper analysed high-dimensional flow cytometry data from 32 patients with stage IV SCLC treated with carboplatin, etoposide, and atezolizumab. Peripheral blood was analysed at baseline (V0) and longitudinally during treatment. To identify potential early predictive biomarkers and mitigate sample attrition in later cycles, we focused on baseline and measurements after two cycles of ICT (V1). We employed a rigorous machine learning framework utilising nested cross-validation, bootstrapping, and permutation-based statistical testing to evaluate eleven different regression and survival models. Results: Under model-appropriate metrics, regressors did not generalise (R2