An exhaust gas analyzer to analyze exhaust gas discharged from an internal combustion engine includes an infrared light source, a photodetector, a CO2 concentration calculation part and an O2 concentration calculation part. The infrared light source irradiates infrared light to the exhaust gas. The photodetector detects infrared light after passing through the exhaust gas. The CO2 concentration calculation part calculates a CO2 concentration in the exhaust gas on the basis of a detection signal obtained by the photodetector. The O2 concentration calculation part calculates an O2 concentration in the exhaust gas from the CO2 concentration by using a fuel combustion reaction equation and an EGR rate in an exhaust gas recirculation system or a value related to the EGR rate.