Observational studies have yielded reports on long-term effects of hormone replacement therapy (HRT) for cardiovascular, osteoporosis-related, and cancer diseases. There is concern that risk estimates may be confounded by complex mechanisms of selection with regard to important risk determinants. In this study, we tested the hypothesis that baseline characteristics of women vary with exposure characteristics, i.e., the choices of complying with prescriptions, using different compounds and regimens, and continuing intake long-term. We analyzed the prevalence of relevant risk factors and their relationships to characteristics of exposure among 11,211 Swedish women who had received prescription for HRT. Associations were studied through logistic regression, with comparisons of women with ever-use versus non-compliance, long-term (73+ months) versus short-term use (1-72 months), intake of conjugated estrogens versus estradiol compounds, and intake of estrogens only versus estrogens combined with progestins, respectively. We found that women denying intake of using HRT short-term had higher parity, earlier age at first birth and a lower prevalence of hysterectomy or oophorectomy than those complying or exposed long-term. A high level of education was associated with compliance and long-term exposure, and heavy physical exercise and high intake of food fibers were associated with compliance. Climacteric symptoms were associated with compliance, long-term intake and use of conjugated estrogens, whereas a history of oral contraceptive intake was associated with use of estrogens alone without progestins. We conclude that selection biases in studies of HRT effects are important and complex in that they may vary with the reported exposure. Our findings are important, as they point to the need for improved methods for measuring, in particular, factors linked to lifestyle and health behavior, in order to account more fully for confounding in the analyses of risk relationships.