Pembrolizumab administration can improve concurrent chemoradiotherapy (CCRT) efficacy in newly diagnosed, high-risk, locally advanced cervical cancer (LACC). Given the importance of balancing the costs of innovative therapeutics against their efficacy, this study was developed to assess the cost-effectiveness from the perspective of payers in Americas, Europe, and Asia. The main survival and other relevant parameters of 1,060 LACC patients from the KEYNOTE-A18 trial were collected to establish a lifetime 3-state Markov model to evaluate the cost and effectiveness of pembrolizumab-CCRT and placebo-CCRT. Primary outcome measures included total cost, life-years (LYs), quality-adjusted LYs (QALYs), incremental cost-effectiveness ratio (ICER), incremental net monetary benefit, and incremental net health benefits (INHBs) at countries' traditional willingness-to-pay (WTP) thresholds. Model stability was also examined through sensitivity analyses. The USA, Italy, and China are selected as representative countries for each of the 3 continents, assuming that their WTP thresholds were $150,000, $43,749, and $37,766 per QALY. The increased efficacy and costs of pembrolizumab-CCRT versus placebo-CCRT were 2.52 QALYs (3.11 LYs) and $346,479, 2.30 QALYs (2.81 LYs) and $236,776, 1.79 QALYs (2.12 LYs) and $29,027, calculating the ICER for the 3 countries as $137,500/QALY ($111,499/LY), $102,758/QALY ($84,192/LY), and $16,217/QALY ($13,726/LY), respectively. The respective INHBs were 0.21 QALY, -3.11 QALY, and 1.02 QALY, and pembrolizumab-CCRT was exhibited cost-effectiveness opportunities of 62.68%, 12.53%, and 75.23% at the selected WTP threshold, respectively. At current prices, pembrolizumab-CCRT represents a cost-effective alternative for patients with LACC in the USA and China, but not in Italy.