Background Pembrolizumab (Pembro) in combination with chemotherapy has been approved for the treatment of pretreated advanced NSCLC in the United States and China for its significant efficacy. However, the cost‐effectiveness is unknown considering Pembro's high price. The impact of programmed death ligand 1 (PD‐L1) test on the cost‐effectiveness is also unknown. The current study assessed the cost‐effectiveness of combination therapy for nonsquamous NSCLC from the United States and China public payers’ perspective. Materials and Methods A literature‐based Markov model was conducted using KEYNOTE‐189 trial data to compare cost and quality‐adjusted life years (QALYs) of three treatment strategies for nonsquamous NSCLC: Pembro‐chemotherapy combination and chemotherapy strategy without PD‐L1 test, and treatment strategy according to their PD‐L1 status. Results In base case analysis, the combination strategy generated an additional 0.78 QALYs and 0.59 QALYs over chemotherapy in the United States and China respectively, resulting in an ICER of $132 392/QALY in the United States and $92 533/QALY in China. In the PD‐L1 ≥1% base case, the ICERs were $77 754/QALY and $56 768/QALY respectively in the United States and China for PD‐L1 test strategy. In the PD‐L1 ≥50% base case, the ICERs were $44 731/QALY and $34 388/QALY respectively in the United States and China for PD‐L1 test strategy. Lowering Pembro price can also partly decrease the ICERs. Conclusion Compared with chemotherapy, the combination strategy is not cost‐effective for the treatment of NSCLC in the American and Chinese health care system at WTP threshold of $100 000/QALY for the United States and $27 351/QALY for China. Using PD‐L1 test for patient selection and price reduction could improve the cost‐effective probabilities of immunotherapy for nonsquamous NSCLC.