Risk of ovarian cancer with hormone therapy is associated with use of both unopposed estrogen therapy and combined estrogen–progestin therapy, whereas for endometrial cancer addition of continuous progestin decreases the estrogen induced increased risk. Less is known about risk with use of tibolone; a synthetic steroid with estrogenic, progestagenic and androgenic properties. We assessed these associations in a prospective cohort study, including all Danish women 50–79 years of age and followed 1995–2009. National Danish Registers captured individually updated exposure information, cancer cases including histology and confounding factors. Poisson regression analyses provided multiple adjusted incidence rate ratios (IRRs). More than 900,000 women were followed for 9.8 years on average; 4,513 were diagnosed with ovarian cancer and 6,202 with endometrial cancer. Compared to women never on postmenopausal hormone therapy, current users of tibolone had an increased IRR for ovarian cancer (1.42(95% confidence interval [CI], 1.01–2.00) and serous ovarian tumors (2.21(95%CI 1.48–3.32)). The risk increased with duration of use, particularly for serous ovarian tumors. Compared to never users, the IRR of endometrial cancer was 3.56(95%CI 2.94–4.32) among current users of tibolone and 3.80(95%CI 3.08–4.69) of Type I endometrial cancer. The steepest risk increase with duration of use was for Type I tumors. In conclusion, tibolone is associated with increased risk for ovarian and endometrial cancer overall; and particular the risk of serous ovarian tumors and Type I endometrial cancer. Because the associations are stronger with increasing durations of use – and for hormone sensitive tumors – the results seem indicative of causality.