Background: Proprotein convertase subtilisin/kexin type 9 inhibitors (PCSK9I) have potential benefits against cardiovascular disease. The comparative risks of new-onset major adverse cardiovascular events (MACE) between PCSK9I and ezetimibe remain unknown. Objective: This real-world study compared the risks of MACE upon exposure to PCSK9I and ezetimibe. Methods: This was a retrospective population-based cohort study of patients with dyslipidaemia on either PCSK9I or ezetimibe between 1st January 2015 and 30th October 2022 using a territory-wide database from Hong Kong. The primary outcome was new-onset MACE. The secondary outcomes were myocardial infarction, heart failure, stroke/transient ischaemic attack, and all-cause mortality. Propensity score matching (1:3 ratio) using the nearest neighbour search was performed. Multivariable Cox regression was used to identify significant associations. Results: This cohort included 42450 dyslipidaemia patients (median age: 65.0 years old [SD: 11.1]; 64.54 % males). The PCSK9I and ezetimibe groups consisted of 1477 and 40973 patients, respectively. After matching, 67 and 235 patients suffered from MACE in the PCSK9I and ezetimibe groups, respectively, over a total of 14514.5 person-years. PCSK9I was associated with lower risks of MACE (Hazard ratio [HR]: 0.59; 95% Confidence Interval [CI]: 0.37-0.92) compared to ezetimibe use after adjusting for demographics, past comorbidities, other medications, and time-weighted means of lipid and glucose tests. Besides, while both alirocumab and evolocumab were associated with lower risks of MACE, evolocumab was associated with significantly lower risks of myocardial infarction, heart failure, and stroke/transient ischaemic attack. The results remained consistent in the competing risk and sensitivity analyses. Conclusions: PCSK9I use amongst dyslipidaemia patients was associated with lower risks of new-onset MACE and outcomes compared to ezetimibe after adjustments. Evolocumab might perform better than Alirocumab in reducing the risks of cardiovascular diseases.