High‐order interactions associated with non‐small cell lung cancer (NSCLC) survival may elucidate underlying molecular mechanisms and identify potential therapeutic targets. Our previous work has identified a three‐way interaction among pack‐year of smoking (the number of packs of cigarettes smoked per day multiplied by the number of years the person has smoked) and two DNA methylation probes (cg05293407TRIM27 and cg00060500KIAA0226). However, whether a four‐way interaction exists remains unclear. Therefore, we adopted a two‐phase design to identify the four‐way gene–smoking interactions by a hill‐climbing strategy on the basis of the previously detected three‐way interaction. One CpG probe, cg16658473SHISA9, was identified with FDR‐q ≤ 0.05 in the discovery phase and P ≤ 0.05 in the validation phase. Meanwhile, the four‐way interaction improved the discrimination ability for the prognostic prediction model, as indicated by the area under the receiver operating characteristic curve (AUC) for both 3‐ and 5‐year survival. In summary, we identified a four‐way interaction associated with NSCLC survival among pack‐year of smoking, cg05293407TRIM27, cg00060500KIAA0226 and g16658473SHISA9, providing novel insights into the complex mechanisms underlying NSCLC progression.