BACKGROUND & AIMS: Colorectal cancer located at different anatomical subsites may have distinct etiologies and risk factors. Previous studies that have examined this hypothesis have yielded inconsistent results, possibly because most studies have been of insufficient size to identify heterogeneous associations with precision. METHODS: In the European Prospective Investigation into Cancer and Nutrition study, we used multivariable joint Cox proportional hazards models, which accounted for tumors at different anatomical sites (proximal colon, distal colon, and rectum) as competing risks, to examine the relationships between 14 established/suspected lifestyle, anthropometric, and reproductive/menstrual risk factors with colorectal cancer risk. Heterogeneity across sites was tested using Wald tests. RESULTS: After a median of 14.9 years of follow-up of 521,330 men and women, 6291 colorectal cancer cases occurred. Physical activity was related inversely to proximal colon and distal colon cancer, but not to rectal cancer (P heterogeneity = .03). Height was associated positively with proximal and distal colon cancer only, but not rectal cancer (P heterogeneity = .0001). For men, but not women, heterogeneous relationships were observed for body mass index (P heterogeneity = .008) and waist circumference (P heterogeneity = .03), with weaker positive associations found for rectal cancer, compared with proximal and distal colon cancer. Current smoking was associated with a greater risk of rectal and proximal colon cancer, but not distal colon cancer (P heterogeneity = .05). No heterogeneity by anatomical site was found for alcohol consumption, diabetes, nonsteroidal anti-inflammatory drug use, and reproductive/menstrual factors. CONCLUSIONS: The relationships between physical activity, anthropometry, and smoking with colorectal cancer risk differed by subsite, supporting the hypothesis that tumors in different anatomical regions may have distinct etiologies.