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Background Cancer risk varies geographically, and migrants are influenced by different risk factors before, during and after migration. Increased migration from non-Western countries to the Nordic countries calls for a better understanding of the migrants’ cancer risk and the change in risk patterns over time. The aim of this study was to compare the incidence and mortality of breast, colorectal and lung cancer between non-Western immigrant and the native female population in Denmark, Finland, Iceland, and Norway. Material and methods Data from national registries were processed and pre-analysed in each country. Multivariate Poisson regression models were used to model the relative differences in incidence and mortality as rate ratios (RR). The country-specific estimates and summary statistics were pooled together using a random effects model. Results Non-Western immigrant women had significantly lower breast (RR 0.71, 0.65–0.78), colorectal (RR 0.72, 0.57–0.92) and lung (RR 0.55, 0.42–0.72) cancer incidence rates than native women, and the risk of these cancers among immigrant women increased with duration of residence. Differences were parallel in breast, colorectal and lung cancer mortality (RR 0.64, 0.55–0.74; RR 0.66, 0.48–0.92; RR 0.51, 0.34–0.79). Among immigrant women, higher education increased the risk for breast cancer and decreased it for lung cancer. Conclusion The results significantly complement and add to the previous findings of cancer burden and cancer burden transition among migrants and provide evidence of a prolonged cancer risk advantage among non-Western immigrant women. However, the findings show an increasing risk of lifestyle-related cancers with increasing duration of residence in the host country. Further studies are needed to discover underlying reasons for this phenomenon.