Abstract There are no clear guidelines regarding the optimal treatment sequence for advanced pancreatic cancer, as head‐to‐head phase III randomised trials are missing. We assess real‐world effectiveness of three common sequential treatment strategies by emulating a hypothetical randomised trial. This analysis included 1551 patients with advanced pancreatic cancer from the prospective, clinical cohort study Tumour Registry Pancreatic Cancer receiving FOLFIRINOX ( n = 613) or gemcitabine/nab‐paclitaxel (GEMNAB; n = 938) as palliative first‐line treatment. We used marginal structural modelling to compare overall survival (OS) and time to deterioration (TTD) of health‐related quality of life (HRQoL) between three common first‐ to second‐line treatment sequences, adjusting for time‐varying potential confounding. The sequences were: FOLFIRINOX→GEMNAB, GEMNAB→FOLFOX/OFF and GEMNAB→nanoliposomal irinotecan (NALIRI) + 5‐fluorouracil. Outcome was also calculated stratified by patients' prognostic risk according to the Pancreatic Cancer Score. Median OS and TTD of HRQoL independent of risk were 10.7 8.9, 11.9 and 6.4 4.8, 7.7 months for FOLFIRINOX→GEMNAB, 8.4 7.4, 9.7 and 5.8 4.6, 7.1 months for GEMNAB→FOLFOX/OFF and 8.9 7.8, 10.4 and 4.6 4.1, 6.1 months for GEMNAB→NALIRI+5‐fluorouracil. Compared to FOLFIRINOX→GEMNAB, OS and TTD were worse for poor‐risk patients with GEMNAB→FOLFOX/OFF (OS: HR 2.09 1.47, 2.98; TTD: HR 1.97 1.19, 3.27) and those with GEMNAB→NALIRI+5‐fluorouracil (OS: HR 1.35, 0.76, 2.39; TTD: HR 2.62 1.56, 4.42). Brackets denote 95%‐confidence intervals. The estimated real‐world effectiveness of the three treatment sequences evaluated were largely comparable. Poor‐risk patients might benefit from intensified treatment with FOLFIRINOX→GEMNAB in terms of clinical and patient‐reported outcomes. Future randomised trials on sequential treatments in advanced pancreatic cancer are warranted.