First-line treatment of persistent, recurrent, or metastatic (advanced) cervical cancer in patients who have a combined positive score (CPS) ≥ 1 with pembrolizumab + chemotherapy versus standard-of-care chemotherapy provides meaningful improvements in overall survival. We conducted a cost-effectiveness analysis from a US payer perspective. A societal perspective scenario was also considered, including productivity gains. The cost-effectiveness of pembrolizumab + chemotherapy versus chemotherapy was assessed using a state-transition model comprising the health states "pre-progression," "post-progression," and "death," with a 1-week cycle length and 50-year time horizon. Patient-level KEYNOTE-826 data informed the efficacy, safety, and health-related quality of life of pembrolizumab + chemotherapy versus chemotherapy at first-line and subsequent treatments. Real-world data were sought to cost subsequent treatments according to US clinical practice. Transition probabilities were derived from parametric survival models fit to time-to-progression, progression-free survival, and post-progression survival patient-level KEYNOTE-826 data. Sensitivity analyses explored the impact on outcomes from variables such as bevacizumab use. According to the state-transition model, pembrolizumab + chemotherapy extended mean life expectancy versus chemotherapy from 1.8 to 6.7 life-years. The mean gain of 4.9 life-years/patient was mostly caused by pembrolizumab delaying progression. Total discounted quality-adjusted life-years (QALY) were 5.0 and 1.3 per patient for pembrolizumab + chemotherapy and chemotherapy, respectively (mean gain: 3.7 QALY/patient). Pembrolizumab + chemotherapy had comparable safety outcomes to chemotherapy alone. Total costs incurred were US $320,247 (pembrolizumab + chemotherapy) versus US $105,446 (chemotherapy; mean incremental costs: US $214,801/patient). The incremental cost-effectiveness ratio of pembrolizumab + chemotherapy versus chemotherapy was US $58,446/QALY. Sensitivity analyses showed results were insensitive to bevacizumab use. Including productivity gains led to an incremental cost-effectiveness ratio of US $58,385 per QALY. Our model-based analysis suggests that first-line treatment of pembrolizumab + chemotherapy in advanced cervical cancer with a CPS ≥ 1 offers a substantial clinical benefit over standard-of-care chemotherapy alone and is cost-effective at a willingness-to-pay threshold of US $150,000. The approximate doubling of life-years and QALYs associated with pembrolizumab + chemotherapy represents a step improvement in the treatment of advanced cervical cancer. ClinicalTrials.gov Identification Number: NCT03635567.