PurposeThe KEYNOTE‐062 trial demonstrated the efficacy and safety of pembrolizumab for advanced gastric cancer (GC). The current study evaluated the cost‐effectiveness of pembrolizumab alone or in combination with chemotherapy versus chemotherapy for advanced GC from the perspective of the United States and China. And the results will provide evidence and data support for more drug selection‐related decisions and research in the future.MethodsA partitioned survival approach with three states was created for treatment of advanced GC. The survival data were derived from KEYNOTE‐062 trial and the individual patient data were generated by a specific algorithm. We fitted 21 survival functions to each treatment arm and selected the most suitable distribution type for each one. Direct costs and utility values were collected from the published, available database. Cost, quality‐adjusted life‐years (QALYs), and incremental cost‐utility ratios (ICURs) were considered as the primary measure outcomes. One‐way and probabilistic sensitivity analyses were performed to assess the reliability of the analyses.ResultsIn the base‐case analysis of combined positive score (CPS) ≥1 patients, the ICUR of pembrolizumab plus chemotherapy versus chemotherapy in American and Chinese setting is $345,209/QALY and $186,802.6/QALY, respectively. And the ICUR of pembrolizumab versus chemotherapy is $473,650/QALY and $377,753/QALY in the context of the US and China, respectively. For CPS≥10 patients, the ICUR of pembrolizumab plus chemotherapy versus chemotherapy in American and Chinese setting is $483,742/QALY and $262,965/QALY, respectively. And that of pembrolizumab versus chemotherapy is $96,550/QALY and $67,896/QALY in the context of the US and China.ConclusionCompared with chemotherapy, either pembrolizumab plus chemotherapy or pembrolizumab monotherapy is not regarded as a cost‐effective strategy for patients with CPS≥1, advanced gastric cancer in the current American and Chinese setting. But pembrolizumab monotherapy for CPS≥10 patients would become a cost‐effective option in the American setting.