Background Several clinical prognostic models for diffuse large B‐cell lymphoma (DLBCL) have been proposed, including the most commonly used International Prognostic Index (IPI), the National Comprehensive Cancer Network IPI (NCCN‐IPI), and models incorporating beta‐2 microglobulin (β2M). However, the role of β2M in DLBCL patients is not fully understood. Methods We identified 6075 patients with newly diagnosed DLBCL treated with immunochemotherapy registered in the Danish Lymphoma Registry. Results A total of 3232 patients had data available to calculate risk scores from each of the nine considered risk models for DLBCL, including a model developed from our population. Three of four models with β2M and NCCN‐IPI performed better than the International Prognostic Indexes (IPI, age‐adjusted IPI, and revised IPI). Five‐year overall survival for high‐ and low‐risk patients were 43.6% and 86.4% for IPI and 34.9% and 96.2% for NCCN‐IPI. In univariate analysis, higher levels of β2M were associated with inferior survival, higher tumor burden (advanced clinical stage and bulky disease), previous malignancy and increased age, and creatinine levels. Furthermore, we developed a model (β2M‐NCCN‐IPI) by adding β2M to NCCN‐IPI (c‐index 0.708) with improved discriminatory ability compared to NCCN‐IPI (c‐index 0.698, p < 0.05) and 5‐year OS of 33.1%, 56.2%, 82.4%, and 96.4% in the high, high‐intermediate, low‐intermediate and low‐risk group, respectively. Conclusion International Prognostic Indices, except for NCCN‐IPI, fail to accurately discriminate risk groups in the rituximab era. β2M, a readily available marker, could improve the discriminatory performance of NCCN‐IPI and should be re‐evaluated in the development setting of future models for DLBCL. Beta‐2 microglobulin (β2M) has been sporadically incorporated in prognostic models for diffuse large B‐cell lymphoma (DLBCL). We compared the prognostic discriminative ability of four existing DLBCL models with International Prognostic Indices. Moreover, we developed and validated a new model from the largest population investigating this marker so far, indicating the necessity to include β2M in future studies when analyzing prognostic markers in DLBCL.