Studies suggest U.S. military members who deployed in support of the recent conflicts in Iraq and Afghanistan have higher incidence of asthma compared with those who did not deploy. It is unknown whether combat experiences and deployment contribute to developing asthma. This study aimed to determine the risk factors for developing asthma, including combat deployment (categorized as deployed with combat experiences, deployed without combat experiences, and non-deployed), among Millennium Cohort Study participants. 75,770 participants completed a baseline and at least one triennial follow-up survey on deployment experiences, lifestyle characteristics, and health outcomes. Complementary log-log models stratified by sex were used to estimate the relative risk of developing asthma among participants who reported no history of asthma at baseline. In adjusted models, those who deployed with combat experience were 24–30% more likely to develop asthma than those who did not deploy. No difference in asthma risk was found among those who deployed without combat experience compared with those who did not deploy. Hispanic ethnicity, being overweight or obese, experiencing more than one stressful life event, posttraumatic stress disorder, and health care or other technical and specialty occupations were risk factors for new-onset asthma in mutually adjusted models. Deployment with combat experience was associated with a higher risk of new-onset asthma; however deployment without combat experience was not associated with a change in risk compared with those who did not deploy. Further research is needed to identify specific features of combat that are associated with greater asthma risk to inform prevention strategies.