Background Interstitial lung disease (ILD) induced by immune checkpoint inhibitors (ICIs) is a potentially life‐threatening adverse event. The purpose of this study was to evaluate whether the development of immune‐related adverse events (irAEs), especially ILD, was associated with treatment efficacy and to research the features and risk factors of ILD in advanced non‐small cell lung cancer (NSCLC). Methods Between December 2015 and November 2018, 130 advanced NSCLC patients were treated with nivolumab, pembrolizumab or atezolizumab. The patients were categorized into two groups (irAEs group or non‐irAEs group). Subsequently, we divided the irAEs group into two groups based on the incidence of ILD (ILD group and irAEs‐non‐ILD group). Treatment efficacy and the characteristics of ILD were evaluated. Results A total of 39 (30%) patients developed irAEs. ILD was observed in 16 (12%) patients. Patients with ILD had a higher objective response rate (ORR) compared with irAEs‐non‐ILD patients and non‐irAEs patients (63%, 43% and 22%, respectively). Median progression‐free survival (mPFS) was 15.9 months in ILD patients, 5.4 months in irAEs‐non‐ILD patients and 3.3 months in non‐irAEs patients (log‐rank test, P = 0.033). Pre‐existing interstitial pneumonia (IP) was an independent risk factor for ILD‐induced ICIs (odds ratio OR 14.7; 95% confidence interval CI: 2.16–99.6, P = 0.006). Conclusions ORR and PFS were significantly better in ILD patients than in irAEs‐non‐ILD and non‐irAEs patients. Pre‐existing history of IP was an independent risk factor for ILD‐induced ICIs.