Purpose: To assess the association between higher-than-normal BMI and incidence of premenopausal ovarian and breast cancers. Methods: This prospective cohort study included 461,646 women registered in the Danish Medical Birth Registry with self-reported early adulthood BMI ≥18.5 kg/m², without a history of cancer. We used Cox proportional hazards regression models to estimate the hazard ratios (HRs) with 95% confidence intervals (95% CIs) of premenopausal epithelial ovarian cancer, breast cancer, estrogen receptor positive and negative, HER2 positive and negative breast cancers according to BMI. Results: Compared with normal weight, obesity was associated with higher rates of premenopausal ovarian cancer (HR = 1.95, 95% CI 1.19–3.21) when adjusted for parity, use of hormonal contraception, family history of ovarian and/or breast cancer, other cancer, and calendar year. Obesity was associated with lower rates of premenopausal breast cancer (HR = 0.77, 95% CI 0.68–0.87) when adjusted for parity, use of hormonal contraception, family history of ovarian and/or breast cancer, any other cancer, calendar year, smoking, and highest achieved education. The associations were strongest with estrogen receptor positive premenopausal breast cancers. Results according to HER2 status were similar to overall results for premenopausal breast cancer. Conclusions: Obesity was associated with higher incidence of premenopausal ovarian cancer and lower incidence of premenopausal breast cancer.