We aimed to determine the association between proton pump inhibitor (PPI) use and incident asthma in patients with coronary artery disease (CAD). This nationwide cohort study collected claims data from the Taiwanese Bureau of National Health Insurance from 2004 to 2013. The primary outcome, i.e., the risk of incident asthma, was assessed by estimating hazard ratios (HRs) and 95% confidence intervals (CIs). The adjusted HR of asthma development was estimated using the Cox regression model. Sensitivity and subgroup analyses were also conducted. A total of 8894 PPI users and 12,684 H2-receptor antagonist (H2RA) users were included in patients with CAD. Compared with H2RA use, an increased risk of incident asthma was found between PPI use and the risk of incident asthma in patients with CAD after adjusting for sex, age, urbanization, and low income (HR: 1.41; 95% CI: 1.04–1.89). The sensitivity analysis results were consistent with the main analysis results. However, the subgroup analysis revealed no association of incident asthma in patients with diabetes mellitus, hyperlipidemia, stroke, allergic rhinitis, pneumonia, cancer, or depression in the PPI group compared with those in the H2RA group. In conclusion, PPI use increased the risk of asthma development in patients with CAD.