Objective: Women's contraceptive use at first sexual intercourse (FSI) may be associated with subsequent sexual behaviors. We examined associations between contraceptive methods used at FSI and subsequent number of lifetime partners, induced abortions and sexually transmitted infections (STIs). Study design: During 2011–2012, we collected questionnaire data from a random sample of women aged 18–45 years from Denmark, Norway and Sweden. We used logistic regression and discrete-time proportional hazards models to estimate odds ratios (ORs) and hazard ratios (HRs) with 95% confidence intervals (CIs), comparing different contraceptive methods used at FSI in the whole study sample and in women with FSI in 2001 or later [when emergency contraceptive pills (ECPs) were available without prescription]. Results: Of 45,361 women in the study sample, those who did not use contraception at FSI (n=8155; 18.0%) were more likely than condom users to have ≥11 lifetime partners (OR=1.34; 95% CI 1.27–1.42), induced abortions (HR=1.62; 95% CI 1.53–1.71) and STIs (HR=1.15; 95% CI 1.10–1.20). ECP users (n=440, 1.0%) were more likely than condom users to have ≥11 lifetime partners (OR=1.76; 95% CI 1.40–2.22), induced abortions (HR=1.44; 95% CI 1.11–1.86) and STIs (HR=1.84; 95% CI 1.56–2.16). A similar pattern was seen in safe periods/withdrawal users. The associations did not change among women with FSI in 2001 or later (n=14,445). Conclusions: Compared with condom use, contraceptive nonuse, safe periods/withdrawal use and ECP use at FSI were associated with subsequent number of sexual partners, induced abortions and STIs. Implications: Contraceptive method used at first intercourse was associated with subsequent sexual behaviors in women. This study highlights the importance of early sexual behaviors and may help understand patterns of women's sexual behaviors.