The association between the consumption of dairy products and risk of CVD has been inconsistent. There is a lack of studies in populations with high intakes of dairy products. We aimed to examine the association between intake of dairy products and risk of incident major adverse coronary events and stroke in the Swedish Malmö Diet and Cancer cohort study. We included 26 190 participants without prevalent CVD or diabetes. Dietary habits were obtained from a modified diet history, and endpoint data were extracted from registers. Over an average of 19 years of follow-up, 3633 major adverse coronary events cases and 2643 stroke cases were reported. After adjusting for potential confounders, very high intakes of non-fermented milk (>1000 g/d) compared with low intakes (<200 g/d) were associated with 35 % (95 % CI (8, 69)) higher risk of major adverse coronary events. In contrast, moderate intakes of fermented milk (100–300 g/d) were associated with a lower risk of major adverse coronary events compared with no consumption. Intakes of cheese (only in women) and butter were inversely associated with the risk of major adverse coronary events. We observed no clear associations between any of the dairy products and stroke risk. These results highlight the importance of studying different dairy foods separately. Further studies in populations with high dairy consumption are warranted.