Objective To evaluate the sequences of tumor necrosis factor inhibitors (TNFi) and non‐TNFi used by rheumatoid arthritis (RA) patients whose initial TNFi therapy has failed, and to evaluate effectiveness and costs. Methods Using the Truven Health MarketScan Research database, we analyzed claims of commercially insured adult patients with RA who switched to their second biologic or targeted disease‐modifying antirheumatic drug between January 2008 and December 2015. Our primary outcome was the frequency of treatment sequences. Our secondary outcomes were the time to therapy discontinuation, drug adherence, and drug and other health care costs. Results Among 10,442 RA patients identified, 36.5% swapped to a non‐TNFi drug, most commonly abatacept (54.2%). The remaining 63.5% cycled to a second TNFi, most commonly adalimumab (41.2%). For subsequent switches of therapy, non‐TNFi were more common. Patients who swapped to a non‐TNFi were significantly older and had more comorbidities than those who cycled to a TNFi (P < 0.001). Survival analysis showed a longer time to discontinuation for non‐TNFi than for TNFi (median 605 days compared with 489 days; P < 0.001) when used after initial TNFi discontinuation, but no difference in subsequent switches of therapy. Although non‐TNFi were less expensive for adherent patients, cycling to a TNFi was associated with lower costs overall. Conclusion Even though patients are more likely to cycle to a second TNFi than swap to a non‐TNFi, those who swap to a non‐TNFi are more likely to persist with the therapy. However, cycling to a TNFi is the less costly strategy.