Purpose: This observational study aimed to assess the comparative effectiveness of immunotherapy (IO) in the second-line setting of advanced Non-Small Cell Lung Cancer (aNSCLC). Methods: Population-based data was obtained from the Cancer Registry of Norway (CRN) and linked with the hospital data from the Norwegian Patient Registry (NPR) and treatment data from the Norwegian Prescribed Drug Registry (NorPD). Adult patients with aNSCLC diagnosis in Norway in 2015-2021 were included. The final cohort included patients using IO in the second line setting after first-line treatment with platinum-containing doublet chemotherapy. We performed target trial emulating key eligibility criteria commonly used in aNSCLC randomized clinical trials (RCTs) and constructed three pair-wise 1:1 Propensity score (PS) matched comparison cohorts: atezolizumab versus pembrolizumab, atezolizumab versus nivolumab and nivolumab versus pembrolizumab. Age, sex, morphology, ECOG performance status, PDL1 expression level, peripheral vascular disease, chronic lung disease, diabetes without complications, heart failure, moderate to severe kidney disease, cerebrovascular disease, number of comorbidities per patients and etoposide use were included in the PS. The primary outcome was overall survival (OS). Patients were followed until experiencing death, emigration or end of study. A Cox proportional hazards regression model was used to estimate hazard ratios (HRs) and 95% confidence intervals (CIs). Results: Analyses included a total of 463 patients, 215 users of atezolizumab, 72 nivolumab and 176 pembrolizumab. The median follow-up time was 8.4 (IQR 3.4—20.7) months. We found no significant difference in OS in any of the three pair-wise comparisons; atezolizumab vs. pembrolizumab (HR 0.92; 95% CI: 0.68—1.23), atezolizumab vs. nivolumab (HR 1.14; 95% CI: 0.78—1.67) and nivolumab vs. pembrolizumab (HR 1.11; 95% CI: 0.73—1.71). Conclusion: The study indicates that the three IO drugs atezolizumab, nivolumab and pembrolizumab, when used in second line aNSCLC, demonstrate a similar level of effectiveness. To substantiate these results, further investigation with larger-scale studies is required.