Lung cancers are common worldwide. First-line targeted therapy and chemotherapy are both standard treatments in the current guidelines. With the development of new anticancer therapy, the lifespan of patients with late-stage lung cancer has increased. Cardiovascular events can occur during cancer treatment. This observational study aimed to report the incidence of major adverse cardiovascular events (MACE) after cancer treatment using real-world data. Patients diagnosed with advanced-stage lung cancer between January 2011 and December 2017 were enrolled. Data were collected from the Chang Gung Research Database (CGRD). Retrospective cohort study. Baseline characteristics, clinical stages, pathologies, and outcomes were retrieved from the CGRD. We identified 4406 patients with advanced lung cancer, of whom 2197 received first-line epidermal growth factor receptor tyrosine kinase inhibitor (EGFR-TKI) therapy and 2209 received first-line platinum-based chemotherapy. Most patients in the first-line EGFR-TKI group were never-smokers (74.9%), whereas those in the first-line chemotherapy group were ever-smokers (66.0%). The incidence of MACE was not significantly different between the two groups (12.0% versus 11.9%, p = 0.910). However, the incidence of ischemic stroke was higher in the first-line EGFR-TKI group than in the first-line chemotherapy group (3.9% versus 1.9%, p < 0.001). MACEs are common in patients with advanced-stage lung cancer during treatment. The incidence of MACE was similar between the first-line EGFR-TKI therapy and first-line chemotherapy groups. Although more patients in the EGFR-TKI group were female and never-smokers, the risk of ischemic stroke was higher in patients who received first-line EGFR-TKI therapy than in those who received first-line chemotherapy.