Purpose: By incorporating the cost of multiple tumor-marker tests, this work aims to comprehensively evaluate the financial burden of patients and the accuracy of machine learning models in diagnosing malignant pleural effusion (MPE) using tumor-marker combinations. Methods: Carcinoembryonic antigen (CEA), carbohydrate antigen (CA)19-9, CA125, and CA15-3 were collected from pleural effusion (PE) and peripheral blood (PB) of 319 patients with pleural effusion. A stacked ensemble (stacking) model based on five machine learning models was utilized to evaluate the diagnostic accuracy of tumor markers. We evaluated the discriminatory accuracy of various tumor-marker combinations using the area under the curve (AUC), sensitivity, and specificity. To evaluate the cost-effectiveness of different tumor-marker combinations, a comprehensive score (C-score) with a tuning parameter w was proposed. Results: In most scenarios, the stacking model outperformed the five individual machine learning models in terms of AUC. Among the eight tumor markers, the CEA in PE (PE.CEA) showed the best AUC of 0.902. Among all tumor-marker combinations, the PE.CA19-9 + PE.CA15-3 + PE.CEA + PB.CEA combination (C9 combination) achieved the highest AUC of 0.946. When w puts more weight on the cost, the highest C-score was achieved with the single PE.CEA marker. As w puts over 0.8 weight on AUC, the C-score favored diagnostic models with more expensive tumor-marker combinations. Specifically, when w was set to 0.99, the C9 combination achieved the best C-score. Conclusion: The stacking diagnostic model using PE.CEA is a relatively accurate and affordable choice in diagnosing MPE for patients without medical insurance or in a low economic level. The stacking model using the combination PE.CA19-9 + PE.CA15-3 + PE.CEA + PB.CEA is the most accurate diagnostic model and the best choice for patients without an economic burden. From a cost-effectiveness perspective, the stacking diagnostic model with PE.CA19-9 + PE.CA15-3 + PE.CEA combination is particularly recommended, as it gains the best trade-off between the low cost and high effectiveness.