Background: The risk of developing non-melanoma skin cancers (NMSCs) in patients with psoriasis is highly debated, and, to date, there is no unambiguous consensus opinion. Psoriasis is known to be related to an increased likelihood of other comorbidities such as psoriatic arthritis, obesity, metabolic syndrome, depression, and cardiovascular disease. Regarding cancer risk, previous studies have reported a greater tendency for the development of cutaneous T-lymphomas and colon, breast, kidney, and lung cancers. Furthermore, data from network meta-analyses have shown that patients with psoriasis have a higher risk of developing squamous cell carcinomas (SCCs) and/or basal cell carcinomas (BCCs). Multiple factors may contribute to the development of NMSCs in psoriatic patients, ranging from immunosuppression induced by biologic agents to previous phototherapy. However, the extent to which each factor may impact this risk has not been entirely assessed. The aim of this study was to evaluate the risk of developing NMSCs in patients with psoriasis observed for at least 5 years, by directly comparing patients only treated with phototherapy and patients treated with anti-tumor necrosis factor α (TNFα) agents, naive to other systemic treatments or phototherapy. Methods: We conducted a single-center retrospective study at Siena University Hospital, Italy, on 200 adult patients with psoriasis divided into two groups: (i) group 1, including 100 patients treated with narrow-band UVB phototherapy (nb-UVB), and (ii) group 2, including 100 patients treated with anti-TNFα. The patients included in group 2 had to be naive to cDMARDs and biologics and treated with anti-TNFα continuously for 5 years without loss of efficacy. All patients were observed for 5 years and underwent annual dermatologic examinations to assess for the occurrence of BCC or SCC. Results: A total of 34 out of 100 patients treated with phototherapy had one BCC or one SCC and 10 out of 34 developed two skin cancers. In particular, five had both types (one BCC and one SCC), and five had two BCCs. Conclusions: The results of our study highlight how the risk of developing NMSCs is greater in patients undergoing phototherapy compared to those treated with anti-TNFα. It also draws attention to the consideration that patients with scalp psoriasis might need closer follow-up as they could be more at risk of developing NMSCs.