Objective To compare the long-term cost-utility of three first-generation EGFR-TKIs targeted drugs, gefitinib, icotinib, and erlotinib as first-line treatments for advanced non-small cell lung cancer (NSCLC). Methods Real-world data were collected from 1 511 patients with advanced NSCLC treated with first-generation EGFR-TKIs as first-line treatment at West China Hospital of Sichuan University from 2009 to 2019. A three-state Markov model was established to evaluate the clinical efficacy, safety and cost-utility of three first-generation EGFR-TKIs targeted drugs. The transition probability of each state was obtained by survival analysis, the direct and indirect costs were calculated by the bottom-up method, the health utility value was obtained through literature research, the incremental cost effectiveness ratio (ICER) and quality-adjusted life years (QALYs) were calculated, and sensitivity analyses and Monte Carlo simulations were performed. Results There was no significant difference in clinical efficacy among the three first-generation EGFR-TKIs in the treatment of NSCLC. The incidence of skin rash and liver injury caused by gefitinib was significantly higher than that caused by icotinib and erlotinib (P<0.05). The average economic burden of patients treated with icotinib was the lowest (CNY 192 535.3) (P<0.01). The cost-utility ratio of icotinib (CNY 132 985.9/QALYs) was much lower than that of gefitinib (CNY 205 005.3/QALYs) and erlotinib (CNY 172 893.1/QALYs). Conclusion Compared with the three first-generation EGFR-TKIs drugs, icotinib is the most cost-effective.