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Simple Summary: Bio-humoral predictors of response to chemo-radiation in anal cancer patients are limited, but they might be a useful tool to select patients according to the risk of recurrence, to offer personalized treatments and follow-up protocols during and after therapy. We previously demonstrated the prognostic value of baseline Systemic Inflammation Index (SII), baseline hemoglobin level, and eosinophil count in this clinical setting. In the present study, we proposed a simple scoring system that includes all these three parameters, and we assessed its prognostic value. If validated, this new scoring system could represent a simple tool that is able to drive clinical decision-making in anal cancer patients treated with chemo-radiation with definitive intent. Anal squamous cell carcinoma (SCC) is a rare tumor, and bio-humoral predictors of response to chemo-radiation (CT-RT) are lacking. We developed a prognostic score system based on laboratory inflammation parameters. We investigated the correlation between baseline clinical and laboratory variables and disease-free (DFS) and overall (OS) survival in anal SCC patients treated with CT-RT in five institutions. The bio-humoral parameters of significance were included in a new scoring system, which was tested with other significant variables in a Cox's proportional hazard model. A total of 308 patients was included. We devised a prognostic model by combining baseline hemoglobin level, SII, and eosinophil count: the Hemo-Eosinophils Inflammation (HEI) Index. We stratified patients according to the HEI index into low- and high-risk groups. Median DFS for low-risk patients was not reached, and it was found to be 79.5 months for high-risk cases (Hazard Ratio 3.22; 95% CI: 2.04–5.10; p < 0.0001). Following adjustment for clinical covariates found significant at univariate analysis, multivariate analysis confirmed the HEI index as an independent prognostic factor for DFS and OS. The HEI index was shown to be a prognostic parameter for DFS and OS in anal cancer patients treated with CT-RT. An external validation of the HEI index is mandatory for its use in clinical practice. [ABSTRACT FROM AUTHOR]