Immunocompromised host pneumonia (ICHP) is an important cause of morbidity and mortality, yet usual care (UC) diagnostic tests often fail to identify an infectious etiology. A US-based, multicenter study (PICKUP) among ICHP patients with hematological malignancies, including hematological cell transplant recipients, showed that plasma microbial cell-free DNA (mcfDNA) sequencing provided significant additive diagnostic value. The objective of this study was to perform a cost-effectiveness analysis (CEA) of adding mcfDNA sequencing to UC diagnostic testing for hospitalized ICHP patients. A semi-Markov model was utilized from the US third-party payer's perspective such that only direct costs were included, using a lifetime time horizon with discount rates of 3% for costs and benefits. Three comparators were considered: (1) All UC, which included non-invasive (NI) and invasive testing and early bronchoscopy; (2) All UC & mcfDNA; and (3) NI UC & mcfDNA & conditional UC Bronch (later bronchoscopy if the initial tests are negative). The model considered whether a probable causative infectious etiology was identified and if the patient received appropriate antimicrobial treatment through expert adjudication, and if the patient died in-hospital. The primary endpoints were total costs, life-years (LYs), equal value life-years (evLYs), quality-adjusted life-years (QALYs), and the incremental cost-effectiveness ratio per QALY. Extensive scenario and probabilistic sensitivity analyses (PSA) were conducted. At a price of $2000 (2023 USD) for the plasma mcfDNA, All UC & mcfDNA was more costly ($165,247 vs $153,642) but more effective (13.39 vs 12.47 LYs gained; 10.20 vs 9.42 evLYs gained; 10.11 vs 9.42 QALYs gained) compared to All UC alone, giving a cost/QALY of $16,761. NI UC & mcfDNA & conditional UC Bronch was also more costly ($162,655 vs $153,642) and more effective (13.19 vs 12.47 LYs gained; 9.96 vs 9.42 evLYs gained; 9.96 vs 9.42 QALYs gained) compared to All UC alone, with a cost/QALY of $16,729. The PSA showed that above a willingness-to-pay threshold of $50,000/QALY, All UC & mcfDNA was the preferred scenario on cost-effectiveness grounds (as it provides the most QALYs gained). Further scenario analyses found that All UC & mcfDNA always improved patient outcomes but was not cost saving, even when the price of mcfDNA was set to $0. Based on the evidence available at the time of this analysis, this CEA suggests that mcfDNA may be cost-effective when added to All UC, as well as in a scenario using conditional bronchoscopy when NI testing fails to identify a probable infectious etiology for ICHP. Adding mcfDNA testing to UC diagnostic testing should allow more patients to receive appropriate therapy earlier and improve patient outcomes.