High-risk human papillomavirus (hrHPV) is the cause of virtually all cervical cancers, most vaginal and anal cancers, and some vulvar cancer cases. With HPV testing becoming the primary screening method for cervical cancer, understanding the link between cervical hrHPV infection and the risk of other anogenital cancers is crucial. We assessed the risk of vulvar, vaginal and anal cancer and precancer (VIN2+, VaIN2+ and AIN2+) in a prospective cohort study including 455,349 women who underwent cervical hrHPV testing in Denmark from 2005 to 2020. We employed Cox proportional hazard models, adjusting for age, calendar year and HPV vaccination status, and estimated hazard ratios (HRs) and 95% confidence intervals (CI). We used the Aalen Johansen estimator to calculate the absolute risks of VIN2+, VaIN2+ and AIN2+. In total, 15% of the women were hrHPV positive at baseline. A positive cervical hrHPV test was associated with increased incidence of vulvar, vaginal and anal squamous cell carcinoma (SCC). Five-year risk estimates of VIN2+, VaIN2+ and AIN2+ among hrHPV-positive women (0.45%, 0.14% and 0.12%) were higher than among hrHPV-negative women (0.14%, 0.01% and 0.05%). Particularly high risk was observed among the hrHPV-positive women of the oldest age, with a history of anogenital precancer and those not HPV vaccinated. In conclusion, our study confirms the association between cervical hrHPV infection and non-cervical anogenital precancers and cancers. Currently, no established risk threshold or guidelines for follow-up. As HPV testing becomes the primary method for cervical cancer screening, future data will help define high-risk groups and acceptable risk thresholds.