Whether fertility treatment increases the risk of ovarian cancer has been a concern for many decades, but previous research has yielded conflicting findings. We therefore investigated this association within a large population‐based cohort study of infertile women aged 20–45 years and living in Denmark between 1995 and 2017, as identified in the Danish Infertility Cohort (n = 146,110). The study cohort was linked to nationwide registers to obtain information on fertility drug use, cancer diagnoses, covariates, emigration, and vital status was. Hazard ratios (HR) and 95% confidence intervals (CI) with adjustment for potential confounders for ovarian cancer overall and for serous ovarian cancer were estimated using Cox proportional hazard models. During a median 10.3 years of follow‐up, 114 women were diagnosed with ovarian cancer of which 65 had serous ovarian cancer. Our results showed that the rate of serous ovarian cancer (HR 1.92; 95% CI 1.16–3.17) was increased after every use of progesterone but the association was not affected by increased follow‐up time since first use or with increased cumulative dose. We performed a secondary analysis adding less extensive data from 1971 through 1994 from the Danish Infertility Cohort. In this study cohort, 332 women developed ovarian cancer of which 192 had serous ovarian cancer. The overall results were similar, including the association between every use of progesterone and serous ovarian cancer (HR 2.05: 95% CI: 1.31–3.21). In conclusion, the novel finding that use of progesterone is associated with an increased rate of serous ovarian cancer warrants further investigation.