Background: This study aimed to determine the association between immune checkpoint inhibitors (ICIs) and the risk of herpes zoster (HZ) incidence in patients with lung cancer. Method: We obtained national claims data of 51,021 patients from South Korea with lung cancer between August 2017 and December 2021. The study population was classified into ICI and non-ICI groups based on the prescription of ICIs at least once during the study period. To estimate the effects of ICIs treatment compared with those without ICIs treatment on HZ incidence, we used the Cox proportional hazards model adjusted for sex, age, comorbidities, and concomitant use of immunosuppressive drugs. Stratified analyses based on sex, age, and comorbidities were conducted to identify corresponding risk factors. Results: Of the 51,021 study participants, 897 (1.8%) were prescribed ICIs and 2262 (4.4%) were diagnosed with HZ. Approximately 75.6% of the patients receiving ICIs were male, and the prevalence of diabetes, cardiovascular disease, and chronic lung disease in the ICI group was significantly lower than that in the non-ICIs group. The Kaplan–Meier plot showed that the probability of incidence of HZ in the ICIs group was lower than that in the non-ICIs group. Additionally, treatment with ICIs was associated with a 31% lower incidence of developing HZ when compared to that seen without ICIs treatment (95% confidence interval [CI], 0.48–1.00). This association was stronger in females (hazard ratio [HR], 0.42; 95% CI, 0.19–0.94) and those less than 68 years of age (HR, 0.58; 95% CI, 0.34–0.99). Conclusions: In these real-world data from an Asian population with lung cancer, ICIs treatment might be associated with a reduced risk of HZ compared to that without ICIs treatment.