Human leukocyte antigen‐G (HLA‐G) is a novel tumor marker and its soluble isoforms produce secretory proteins. Increased soluble HLA‐G (sHLA‐G) levels have been reported in patients with melanoma, neuroblastoma, lymphoproliferative disorders, breast, ovarian and colorectal carcinoma when compared to healthy controls or subjects with benign neoplasms. The aim of this study is to investigate whether or not plasma sHLA‐G can be used as a potential biomarker for cancer diagnosis. We measured plasma sHLA‐G levels in 166 patients with early stages of colorectal cancer (CRC, n = 37), gastric cancer (GC, n = 28), esophageal squamous cell carcinoma (ESCC, n = 58) and non‐small cell lung cancer (NSCLC, n = 43), and compared them to healthy controls (n = 260) by using a specific HLA‐G enzyme‐linked immunosorbent assay (ELISA). We found that plasma sHLA‐G levels were significantly higher in cancer patients than in healthy controls (all P < 0.0001). The areas under the receiver‐operating characteristic (ROC) curves for sHLA‐G were 0.97, 0.91, 0.98 and 0.80 for healthy controls vs CRC, GC, ESCC and NSCLC, respectively. At 100% specificity, the highest sensitivity achieved to detect CRC, GC, ESCC and NSCLC was 94% [95% confidence interval (CI), 89–99], 85% (95% CI, 76–94), 91% (95% CI, 88–94) and 51% (95% CI, 43–59) at a cutoff value of 49 U/ml, respectively. These findings suggest that plasma sHLA‐G may be a useful molecule in the differential diagnosis of these malignancies against healthy controls.