By combining data from cosmic microwave background experiments (including the recent WMAP third year results), large scale structure, and Lyman-alpha forest observations, we constrain the hypothesis of a fourth, sterile, massive neutrino. For the 3 massless+1 massive neutrino case, we bound the mass of the sterile neutrino to ms<0.26 eV (0.44 eV) at 95% (99.9%) C.L., which excludes at high significance the sterile neutrino hypothesis as an explanation of the LSND anomaly. We generalize the analysis to account for active neutrino masses and the possibility that the sterile abundance is not thermal. In the latter case, the contraints in the plane are nontrivial. For a mass of >1 or <0.05 eV, the cosmological energy density in sterile neutrinos is always constrained to be omeganu<0.003 at 95% C.L., but for a mass of approximately 0.25 eV, omeganu can be as large as 0.01.