Background: Systemic sting reactions (SSRs) from bee and wasp stings can cause severe symptoms, including anaphylaxis and potentially lead to fatal outcomes. These reactions can significantly affect individuals' daily lives due to the fear and anxiety associated with the risk of stings. Venom immunotherapy (VIT) has been shown to be an effective preventive treatment for SSRs, offering a viable alternative to emergency treatments like adrenaline auto-injectors (AAIs). Methods: We created a decision tree framework with a Danish payer perspective designed to evaluate the cost-effectiveness of VIT with Alutard ^® SQ in individuals with bee and/or wasp venom allergies. Input in the model was identified from a structured literature review and expert consensus. The incremental cost-effectiveness ratio (ICER) of Hymenoptera venom depot immunotherapy (HVDI) compared to AAIs over a 10-year time horizon was estimated. The impact of uncertainty associated with key assumptions was investigated using univariate deterministic sensitivity analyses (DSA). Results: In the base case, the incremental cost of HVDI was €7428, while the incremental quality-adjusted life years (QALYs) gained were 0.48. Consequently, the ICER (cost per QALY) of HVDI compared to AAIs after 10 years was estimated at €15,550. Conclusion: VIT is a cost-effective treatment for the prevention of severe reactions to wasp and/or bee stings when compared to AAIs.