Background: It is important to understand current trends in cancer risk among people living with HIV (PLWH) to improve outcomes and to commission and delivery appropriate services. Methods: Nationwide, population-based, matched cohort study on all adult PLWH treated at Danish HIV health care centres since 1 January 1995 and a comparison cohort, randomly selected from the background population and matched on sex and date of birth. Results: We included 6327 PLWH and 63,270 individuals in the comparison cohort − 74% were men and median age was 37 (interquartile range: 30–46). For both smoking related cancers, virological cancers and other cancers, incidence was substantially higher in the first year of observation for PLWH than for the remaining observation period. The risk of smoking related cancer remained stably increased throughout the observation period, whereas the relative risk of virological cancers decreased, especially in the first year of follow up. Finally, the risk of other cancers for PLWH decreased to a level below that of the background population during the study period. Conclusion: The fact that the risk of other cancers was probably not higher among PLWH than in the comparison cohort is encouraging, as the excess risk of virological and smoking related cancers is potentially preventable by timely treatment of HIV and smoking cessation.