Whether women are more susceptible than men to smoking-related lung cancer has been a topic of controversy. To address this question, we compared risks of lung cancer associated with smoking by sex. Altogether, 585,583 participants from 3 Norwegian cohorts (Norwegian Counties Study, 40 Years Study, and Cohort of Norway (CONOR) Study) were followed until December 31, 2013, through linkage of data to national registries. We used Cox proportional hazards models and 95% confidence intervals to estimate risks. During nearly 12 million person-years of follow-up, 6,534 participants (43% women) were diagnosed with lung cancer. More men than women were heavier smokers. Compared with never smokers, male and female current smokers with ≥16 pack-years of smoking had hazard ratios for lung cancer of 27.24 (95% confidence interval (CI): 22.42, 33.09) and 23.90 (95% CI: 20.57, 27.76), respectively (P for heterogeneity = 0.30). In contrast, for current smokers, in a model with pack-years measured continuously, men had a hazard ratio of 1.43 (95% CI: 1.39, 1.48) and women a hazard ratio of 1.64 (95% CI: 1.57, 1.71) for each 10-pack-year increment of smoking (P for heterogeneity < 0.01). Our results suggest that women have an increased susceptibility to lung cancer compared with men, given the same lifetime smoking exposure.