Abstract Objective To determine the cost effectiveness of treatment strategies for rheumatoid arthritis patients satisfying the indication for tumor necrosis factor (TNF)‐blocking treatment. Methods A Markov model study was performed. The following treatment strategies were considered: 1) usual treatment; 2) treatment with leflunomide, in the case of nonresponse after 3 months, switch to usual treatment; 3) TNF‐blocking treatment, in the case of nonresponse after 3 months, switch to usual treatment; 4) treatment with leflunomide, in the case of nonresponse, switch to TNF‐blocking treatment, in the case of nonresponse to TNF‐blocking treatment, switch to usual treatment; 5) TNF‐blocking treatment, in the case of nonresponse, switch to leflunomide treatment, in the case of nonresponse to leflunomide, switch to usual treatment. Expected patient‐years in the different Markov states, costs, and quality‐adjusted life years (QALYs) were compared between the treatment strategies; incremental cost‐effectiveness ratios (ICERs) were calculated. Results Over the 5‐year period, the expected effect on disease activity and QALYs was better for treatment strategies that included TNF‐blocking treatment than for the other treatment strategies. The greater effectiveness of these treatment strategies reduced medical and nonmedical costs compared with usual treatment by about 16% and 33%, respectively, omitting the costs of medication. When the costs of medication were included, the costs of strategies that started with TNF‐blocking treatment were higher than those of the other treatment strategies. Treatment strategy 4 had the most favorable ICER of the treatment strategies that included TNF‐blocking treatment: €163,556/QALY compared with usual treatment. Conclusion Among strategies that include TNF‐blocking agents, one starting with leflunomide and, in the case of nonresponse, switching to TNF‐blocking treatment probably results in the most favorable ratio between incremental costs and effects.