The aim of the paper is to estimate cost efficiency and its determinants of the Czech and Slovak commercial banks within the period of 2005–2015. In this paper two-stage Data Envelopment Analysis (DEA) is used. In the first stage, I estimate the relative cost efficiency applying the input-oriented model with variable return to scale and find that the Czech banks were more cost efficient than the Slovak banks. The main reason of cost inefficiency is the excess of clients’ deposits in the banks’ balance sheet. In the second stage, we use the panel data analysis and estimated the determinants of cost efficiency in the two countries. We choose 8 bank-specific and macroeconomic factors that influence cost efficiency. The results show that the larger banks with higher liquidity risk and with a lower value of the net interest margin were more efficient. It confirms the reason of inefficiency determined from the DEA model. Banks were highly cost efficient during the economic expansion with a lower value of the inflation rate.