Smoking is a well‐known risk factor for non‐small‐cell lung cancer (NSCLC) and bladder urothelial carcinoma (BLCA). Despite this, there has been no investigation into a prognostic marker based on smoking‐related genes that could universally predict prognosis in these cancers and correlate with immune checkpoint therapy. This study aimed to identify smoking‐related differential genes in NSCLC and BLCA, analyse their roles in patient prognosis and immune checkpoint therapy through subgroup analyses, and shed light on PRR11 as a crucial prognostic gene in both cancers. By examining PRR11 co‐expressed genes, a prognostic model was constructed and its impact on immunotherapy for NSCLC and BLCA was evaluated. Molecular docking and tissue microarray analyses were conducted to explore the correlation between PRR11 and its reciprocal gene SPDL1. Additionally, miRNAs associated with PRR11 were analysed. The study confirmed a strong link between smoking‐related genes, prognosis, and immune checkpoint therapy in NSCLC and BLCA. PRR11 was identified as a key smoking‐associated gene that influences the efficacy of immune checkpoint therapy by modulating the stemness of these cancers. A prognostic model based on PRR11 co‐expressed genes in BLCA was established and its prognostic value was validated in NSCLC. Furthermore, it was found that PRR11 regulates PDL1 via SPDL1, impacting immunotherapeutic efficacy in both cancers. The involvement of hsa‐miR‐200b‐3p in the regulation of SPDL1 expression by PRR11 was also highlighted. Overall, the study elucidates that PRR11 modulates patient immunotherapy by influencing PDL1 expression through its interaction with SPDL1, with potential upstream regulation by hsa‐miR‐200b‐3p.