Observational research on postmenopausal hormone therapy suggests a 40-50% reduction in coronary heart disease incidence among women using these preparations. In contrast, the Women's Health Initiative clinical trial of estrogen plus progestin found an elevated incidence over a 5.6-year intervention period through July 7, 2002. Toward explaining this discrepancy, the authors analyzed data from this trial, which included 16,608 postmenopausal women aged 50-79 years, and corresponding data from 53,054 women in the Women's Health Initiative observational study, 33% of whom were estrogen-plus-progestin users at baseline. Estrogen-plus-progestin hazard ratio estimates for coronary heart disease, stroke, and venous thromboembolism in the observational study were 39-48% lower than those in the clinical trial following age adjustment. However, hazard ratios tended to decrease with increasing time from initiation of estrogen-plus-progestin use, and observational study hazard ratio estimates are heavily weighted by longer-term use while clinical trial hazard ratio estimates reflect shorter-term use. Following control for time from estrogen-plus-progestin initiation and confounding, hazard ratio estimates were rather similar for the two cohorts, although there was evidence of some remaining difference for stroke. These analyses have implications for both the design and the analysis of observational studies.