Agaricus blazei Murrill or Himematsutake is an edible and medicinal mushroom. Agaricus blazei Murrill's fruiting body extracts have anticancer properties, although the mechanism is unknown. Basic or organic solvents, which are hazardous for human health, are generally used to prepare Agaricus blazei Murrill's extracts. Inhibition of immune checkpoint molecules and Axl receptor is an effective therapy in cancer. This study assessed whether subcritical water extracts of the Agaricus blazei Murrill's fruiting body or mycelium affect the expression of Axl and immune checkpoint molecules in lung cancer cells. We used A549 cells and mouse bone marrow-derived dendritic cells in the experiments. We prepared subcritical water extracts from the Agaricus blazei Murrill's fruiting body or mycelium. The subcritical water extracts from the Agaricus blazei Murrill's fruiting body or mycelium significantly inhibited the expression of immune checkpoint molecules and Axl compared to saline-treated cells. Also, the hot water extract, subcritical water extract, and the hot water extraction residue subcritical water extract from the Agaricus blazei Murrill's mycelium significantly enhanced the expression of maturation markers in dendritic cells. These observations suggest that the subcritical water extract from Agaricus blazei Murrill's mycelium is a promising therapeutic tool for stimulating the immune response in cancer.