Background: Use of exogenous female sex hormones is associated with the development of asthma, but the question of whether the effect is protective or harmful remains unresolved. Objective: To investigate whether initiation of hormonal contraceptive (HC) treatment was associated with development of asthma. Methods: We performed a register-based, exposure-matched cohort study including women who initiated HC treatment of any kind between 10 and 40 years of age and compared the incidence of asthma with women who did not initiate HCs. Asthma was defined as 2 redeemed prescriptions of inhaled corticosteroids within 2 years. Data were analyzed using Cox regression models adjusted for income and urbanization. Results: We included 184,046 women with a mean age of 15.5 years (SD 1.5 y), in which 30,669 initiated HC treatment and 153,377 did not. We found that initiation of HCs was associated with an increased hazard ratio (HR) of developing new asthma by 1.78 (95% CI 1.58–2.00; P <.001). The cumulative risk of new asthma was 2.7% after 3 years among users of HCs compared with 1.5% in nonusers. In the different subtypes of HCs, second- and third-generation contraceptives carried significant associations (second-generation HR 1.76; 95% CI 1.52–2.03; P <.001; third-generation HR 1.62 95% CI 1.23–2.12; P <.001). The association with increased incidence was seen only in women younger than 18 years. Conclusions: In this study, first-time users of HCs had an increased incidence of asthma compared with nonusers. Clinicians prescribing HCs should be aware that airway symptoms may develop.