Objectives: All cervical cancers and some vulvar, vaginal and anal cancers are caused by high-risk human papillomavirus (hrHPV). However, little is known about the association between cervical HPV infection and subsequent intraepithelial neoplasia and cancer at other anogenital sites. In this prospective cohort study, we estimated the risk of vulvar, vaginal and anal intraepithelial neoplasia grade 2/3 or cancer (VIN2+, VaIN2+, AIN2+) according to cervical hrHPV status. Methods: Liquid-based cervical cytology samples were collected from 40,399 women screened against cervical cancer in Copenhagen, Denmark, during 2002–2005. Samples were tested for hrHPV using Hybrid Capture 2 (HC2) and genotyped using INNO-LiPA. We linked the cohort with Danish nationwide registries to identify cases of VIN2+, VaIN2+ and AIN2+ during up to 15 years of follow-up. We estimated age-adjusted hazard ratios (HRs) using Cox regression and cumulative incidences using Aalen-Johansen's estimator. Results: Women with cervical HPV16 infection had increased hazard of VIN2+ (HR = 2.6; 95% confidence interval [CI], 1.2–5.5), VaIN2+ (HR = 23.5; 95% CI, 6.8–81.6) and AIN2+ (HR = 3.7; 95% CI, 1.1–12.2) compared with HC2 negative women. Women with other hrHPV types than HPV16 also had increased hazard of VaIN2+ (HR = 7.1; 95% CI, 2.3–22.3) and a borderline statistically significantly increased risk of AIN2+ (HR = 2.2; 95% CI, 0.9–4.9) compared with HC2 negative women. The 10-year cumulative incidences of VIN2+, VaIN2+ and AIN2+ in women with cervical HPV16 were 0.3% (95% CI, 0.2%–0.7%), 0.2% (95% CI, 0.1%–0.5%) and 0.1% (95 CI, 0.0%–0.4%). Conclusions: Cervical HPV16 infection is associated with increased risk of VIN2+, VaIN2+ and AIN2+.