Older adults, women and patients with immunocompromised (IC) or chronic medical conditions have a higher incidence of herpes zoster (HZ) and are at higher risk of developing HZ‐associated complications such as postherpetic neuralgia. The incidence rates of HZ in various IC and chronic conditions have been previously reported in a retrospective cohort study using claims data from Japanese adults. Here, we report further analyses from this cohort using univariate and multivariable Cox regression to estimate crude and adjusted hazard ratios (HRs) associated with different IC and chronic conditions. After adjusting for multiple covariates (age, sex and other coexisting medical conditions), the risk of HZ was higher in women (HR, 1.14 [95% CI, 1.11–1.17]), irrespective of age and increased with increasing age, being substantially higher in patients aged 65 years or older (HR, 3.28 [95% CI, 3.07–3.49]) when compared with those aged 18–29 years. The highest HRs were observed for the following specific IC conditions; hematopoietic stem cell transplant recipients (HR, 9.85 [95% CI, 6.80–14.28]), hematological malignancy (HR, 3.22 [95% CI, 2.54–4.09]), systemic lupus erythematosus (HR, 2.46 [95% CI, 1.45–4.15]) and inflammatory bowel disease (HR, 1.59 [95% CI, 1.14–2.21]). For most other IC and chronic medical conditions, a higher risk was also apparent though of a smaller magnitude (HRs ranging from 1.2 to <1.5). These results corroborate our previous findings and demonstrate an increased risk of HZ associated with different IC and chronic conditions.