A retrospective cohort study, supplemented with a nested case-control study, was performed using two administrative databases from commercial health plans in the United States to compare the incidence of pancreatic and thyroid cancer among users of exenatide versus other antidiabetic drugs (OADs). Patients with type 2 diabetes who initiated exenatide or OADs between 1 June 2005 and 30 June 2015 were included. Pancreatic and thyroid cancers were identified using chart-validated algorithms in the cohort study. Cases in the nested case-control study were chart-confirmed pancreatic or thyroid cancers, and controls were sampled using risk-set sampling. The time-fixed analyses comparing 33 629 exenatide initiators with 49 317 propensity-score-matched OAD initiators yielded hazard ratios of 0.76 (95% confidence interval [CI] 0.47-1.21) for pancreatic cancer and 1.46 (95% CI 0.98-2.19) for thyroid cancer. Results in the time-dependent analyses by cumulative duration or dose were similar. Nested case-control analyses yielded rate ratios of 0.48 (95% CI 0.25-0.91) for pancreatic cancer and 0.87 (95% CI 0.59-1.29) for thyroid cancer. This observational study suggested exenatide use was not associated with an increased risk of pancreatic or thyroid cancer.