The aim of this study was to study the influence of hormone replacement therapy (HRT) on weight changes, body composition, and bone mass in early postmenopausal women in a partly randomized comprehensive cohort study design. A total of 2016 women ages 45-58 years from 3 months to 2 years past last menstrual bleeding were included. One thousand were randomly assigned to HRT or no HRT in an open trial, whereas the others were allocated according to their preferences. All were followed for 5 years for body weight, bone mass, and body composition measurements. Body weight increased less over the 5 years in women randomized to HRT (1.94 ± 4.86 kg) than in women randomized to no HRT (2.57 ± 4.63, p = 0.046). A similar pattern was seen in the group receiving HRT or not by their own choice. The smaller weight gain in women on HRT was almost entirely caused by a lesser gain in fat. The main determinant of the weight gain was a decline in physical fitness. Women opting for HRT had a significantly lower body weight at inclusion than the other participants, but the results in the self-selected part of the study followed the pattern found in the randomized part. The change in fat mass was the strongest predictor of bone changes in untreated women, whereas the change in lean body mass was the strongest predictor when HRT was given. Body weight increases after the menopause. The gain in weight is related to a decrease in working capacity. HRT is associated with a smaller increase in fat mass after menopause. Fat gain protects against bone loss in untreated women but not in HRT-treated women. The data suggest that women's attitudes to HRT are more positive if they have low body weight, but there is no evidence that the conclusions in this study are skewed by selection bias.