Large language model (LLM) cascades reduce inference cost by routing easy queries to a small model and deferring hard queries to a larger one. Production cascades govern this deferral through a confidence threshold, but LLM confidence scores are miscalibrated, the threshold must be tuned per model pair and per domain, and no setting yields a formal bound on cascade accuracy. We introduce
Conformal Cascade (CC), a multi-tier inference framework that uses conformal prediction set size as the deferral rule: accept when the calibrated set collapses to a single answer, defer otherwise. The procedure delivers a distribution-free, finite-sample accuracy guarantee. By a per-tier union bound, the prediction set at the accepting tier covers the correct answer with probability at least
1−Kα for any user-specified
α; under a selection-preservation condition (consistent with, but not strictly implied by, our marginal coverage results), the bound tightens to
1−α. We further characterise expected cascade cost as an explicit function of
α and the calibration-set acceptance rate. Across 18 multiple-choice benchmarks spanning science, medicine, commonsense, and standardized exams, evaluated on two-tier cascades drawn from four open-weight model families, CC strictly improves over the strongest calibration-tuned heuristic cascade on the majority of family--benchmark pairs, with the largest gains on reasoning-heavy benchmarks where majority vote is unreliable; on easier benchmarks the cascade commits the vast majority of queries to the small model at no accuracy cost. Extension to open-ended generation requires an answer-clustering step that we leave for future work. The method requires no model training and only black-box API access.