Background/Objectives: Sugemalimab demonstrated clinical efficacy in the GEMSTONE-303 trial, but its cost-effectiveness remains unclear. This study aims to evaluate the cost-effectiveness of sugemalimab in combination with chemotherapy (CAPOX) as a first-line treatment for patients with advanced or metastatic gastric or gastroesophageal junction (G/GEJ) adenocarcinoma, compared to chemotherapy alone, from the perspective of Taiwan’s healthcare payer. Methods: A partitioned survival model was developed to simulate outcomes over a 40-year time horizon, and model parameters were derived from GEMSTONE-303 and the wider literature. Health benefits were measured in quality-adjusted life-years (QALYs), and only direct medical costs were included, with both discounted at an annual rate of 3%. The willingness-to-pay threshold was set at three times the 2024 GDP per capita. Deterministic and probabilistic sensitivity analyses were conducted alongside scenario analyses. Results: Compared to capecitabine and oxaliplatin (CAPOX) alone, adding sugemalimab yielded an incremental gain of 0.39 QALYs at an additional cost of USD 47,020, resulting in an incremental net monetary benefit of −USD 7478. Conclusions: Sugemalimab plus CAPOX is not cost-effective for advanced or metastatic G/GEJ adenocarcinoma from the Taiwan payer’s perspective. Achieving cost-effectiveness would require a 20–30% price reduction for sugemalimab (to USD 1204–USD 1376 per 600 mg), assuming first-line therapy is administered for the median treatment duration observed in the GEMSTONE-303 trial. If reimbursement continued until disease progression, a reduction of approximately 68% would be required (USD 550 per 600 mg).