Abstract This study aims to assess how clinical outcomes of immunotherapy in real-world (effectiveness) correspond to outcomes in clinical trials (efficacy) and to look into factors that might explain an efficacy-effectiveness (EE) gap. All patients diagnosed with stage IV non-small cell lung cancer (NSCLC) in 2015–2018 in six Dutch large teaching hospitals (Santeon network) were identified and followed-up from date of diagnosis until death or end of data collection. Progression-free survival (PFS) and overall survival (OS) from first-line (1L) pembrolizumab and second-line (2L) nivolumab were compared with clinical trial data by calculating hazard ratios (HRs). From 1950 diagnosed patients, 1005 (52%) started with any 1L treatment, of which 83 received pembrolizumab. Nivolumab was started as 2L treatment in 141 patients. For both settings, PFS times were comparable between real-world and trials (HR 1.08 (95% CI 0.75–1.55), and HR 0.91 (95% CI 0.74–1.14), respectively). OS was significantly shorter in real-world for 1L pembrolizumab (HR 1.55; 95% CI 1.07–2.25). Receiving subsequent lines of treatment was less frequent in real-world compared to trials. There is no EE gap for PFS from immunotherapy in patients with stage IV NSCLC. However, there is a gap in OS for 1L pembrolizumab. Fewer patients proceeding to a subsequent line of treatment in real-world could partly explain this.