<b><i>Introduction:</i></b> In real-world practice, most non-small cell lung cancer (NSCLC) patients receiving combined immunochemotherapy are exposed to short-course corticosteroids following immune checkpoint inhibitor (ICI) infusion to prevent chemotherapy-related adverse events. However, whether this early short-course corticosteroid use prevents immune-related adverse events (irAEs) remains unknown. <b><i>Methods:</i></b> Between January 1st, 2015, and December 31st, 2020, NSCLC patients who received at least one cycle of ICI with or without chemotherapy were enrolled. Early short-course corticosteroids were defined as corticosteroids administered following ICI injection and before chemotherapy on the same day and no longer than 3 days afterward. The patients were categorized as either “corticosteroid group” or “non-corticosteroid group” depending on their exposure to early short-course corticosteroid. The frequencies of irAEs requiring systemic corticosteroid use and irAEs leading to ICI discontinuation were compared between the two groups, and exploratory survival analyses were performed. <b><i>Results:</i></b> Among 252 eligible patients, 137 patients were categorized as “corticosteroid group” and 115 patients as “non-corticosteroid group.” The corticosteroid group enriched patients in the first-line setting (<i>n</i> = 75, 54.7%), compared to the non-corticosteroid group (<i>n</i> = 28, 24.3%). Thirty patients (21.9%) in the corticosteroid group and 35 patients (30.4%) in the non-corticosteroid group developed irAEs requiring systemic corticosteroid use (odds ratio [OR], 0.64; 95% confidence interval [CI], 0.35–1.18; <i>p</i> = 0.15). Eight patients (5.8%) in the corticosteroid group, as compared with 18 patients (15.7%) in the non-corticosteroid group, permanently discontinued ICI due to irAEs (OR, 0.34; 95% CI, 0.12–0.85; <i>p</i> = 0.013). <b><i>Conclusion:</i></b> Early short-course corticosteroids following each ICI injection may reduce the rate of irAEs that lead to ICIs discontinuation, warranting further investigation of its prophylactic use to mitigate clinically significant irAEs.