Imaging biomarkers offer a non-invasive way to predict the response of immunotherapy prior to treatment. In this work, we propose a novel type of deep radiomic features (DRFs) computed from a convolutional neural network (CNN), which capture tumor characteristics related to immune cell markers and overall survival. Our study uses four MRI sequences (T1-weighted, T1-weighted post-contrast, T2-weighted and FLAIR) with corresponding immune cell markers of 151 patients with brain tumor. The proposed method extracts a total of 180 DRFs by aggregating the activation maps of a pre-trained 3D-CNN within labeled tumor regions of MRI scans. These features offer a compact, yet powerful representation of regional texture encoding tissue heterogeneity. A comprehensive set of experiments is performed to assess the relationship between the proposed DRFs and immune cell markers, and measure their association with overall survival. Results show a high correlation between DRFs and various markers, as well as significant differences between patients grouped based on these markers. Moreover, combining DRFs, clinical features and immune cell markers as input to a random forest classifier helps discriminate between short and long survival outcomes, with AUC of 72\% and p=2.36$\times$10$^{-5}$. These results demonstrate the usefulness of proposed DRFs as non-invasive biomarker for predicting treatment response in patients with brain tumors.