(1) Background: We performed a meta-analysis to examine whether combined epidermal growth factor tyrosine kinase inhibitor (EGFR-TKI) and immune checkpoint inhibitor (ICI) increases treatment-related adverse events (trAEs) in advanced non-small cell lung cancer (NSCLC). (2) Methods: Articles from MEDLINE, EMBASE, and Cochrane databases were searched. Proportions and odds ratios (ORs) of the pooled incidence of overall and organ-specific trAEs in combination EGFR-TKI and ICI were compared to TKI monotherapy. (3) Results: Eight studies fulfilled our selection criteria. Any-grade organ-specific trAEs were more common in combination EGFR-TKI and ICI than TKI monotherapy (skin: OR = 1.19, p = 0.012; gastrointestinal tract: OR = 1.04, p = 0.790; ILD: OR = 1.28, p = 0.001). Grade ≥ 3 trAEs were also more frequent in combination treatment (skin: OR = 1.13, p = 0.082; gastrointestinal tract: OR = 1.13, p = 0.076; ILD: OR = 1.16, p = 0.003). (4) Conclusions: A higher proportion of grade ≥3 skin and gastrointestinal trAEs and ILDs was observed in combination TKI and ICI compared to TKI alone. Caution has to be taken when interpreting the results owing to the small number of studies included in this meta-analysis.