The performance of validated bleeding risk scores in patients with venous thromboembolism (VTE) could be different depending on the time after index event or the site of bleeding. In this study we compared the “classic” Registro Informatizado de Enfermedad TromboEmbólica (RIETE) score and the more recently developed VTE-BLEED score for the prediction of major bleeding in patients under anticoagulant therapy in different time intervals after VTE diagnosis. Out of 82,239 patients with acute VTE, the proportion of high-risk patients according to the RIETE and VTE-BLEED scores was 7.1 and 62.3%, respectively. The performance of both scores across the different study periods (first 30 days after VTE diagnosis, days 31–90, days 91–180, and days 181–360) was similar, with areas under the receiving operating characteristics (ROC) curve (AUC) ranging between 0.69 and 0.72. However, the positive predictive values were low, ranging between 0.6 and 3.9 (better for early major bleeding than for later periods). A sensitivity analysis limited to patients with unprovoked VTE showed comparable results. Both scores showed a trend toward a better prediction of extracranial than intracranial major bleeding, the RIETE score resulting more useful for early extracranial bleeding and the VTE-BLEED for late intracranial hemorrhages. Our study reveals that the usefulness of available bleeding scores may vary depending on the characteristics of the patient population and the time frame evaluated. Dynamic scores could be more useful for this purpose.