Abstract Background While immune checkpoint inhibitors (ICIs) are associated with elevated cardiovascular risks, evidence of any association between ICIs and myocardial infarction (MI) was scarce, especially in Asians. Methods Using prospectively collected population‐based data, this self‐controlled case series included patients prescribed an ICI between 1/1/2014 and 31/12/2020 in Hong Kong who had MI within January 1, 2013 to December 31, 2021. Incidence rate ratios (IRRs) for MI during and after ICI exposure were estimated, compared to the year before ICI initiation. Results Of 3684 identified ICI users, 24 had MI during the study period. MI incidence increased significantly in the first 90 days of exposure (IRR 3.59 [95% confidence interval: 1.31–9.83], p = 0.013), but not days 91–180 (p = 0.148) or ≥181 (p = 0.591) of exposure, nor postexposure (p = 0.923). Sensitivity analyses excluding patients with MI‐related death and incorporating extended exposure periods produced consistent results separately. Conclusions ICIs were associated with increased MI incidence in Asian Chinese patients during the first 90 days of use, but not later.