Background Cancer incidence is higher in men than in women at most shared anatomic sites for currently unknown reasons. The authors quantified the extent to which behaviors (smoking and alcohol use), anthropometrics (body mass index and height), lifestyles (physical activity, diet, medications), and medical history collectively explain the male predominance of risk at 21 shared cancer sites. Methods Prospective cohort analyses (n = 171,274 male and n = 122,826 female participants; age range, 50–71 years) in the National Institutes of Health‐AARP Diet and Health Study (1995–2011). Cancer‐specific Cox regression models were used to estimate male‐to‐female hazard ratios (HRs). The degree to which risk factors explained the observed male–female risk disparity was quantified using the Peters–Belson method. Results There were 26,693 incident cancers (17,951 in men and 8742 in women). Incidence was significantly lower in men than in women only for thyroid and gallbladder cancers. At most other anatomic sites, the risks were higher in men than in women (adjusted HR range, 1.3–10.8), with the strongest increases for bladder cancer (HR, 3.33; 95% confidence interval CI, 2.93–3.79), gastric cardia cancer (HR, 3.49; 95% CI, 2.26–5.37), larynx cancer (HR, 3.53; 95% CI, 2.46–5.06), and esophageal adenocarcinoma (HR, 10.80; 95% CI, 7.33–15.90). Risk factors explained a statistically significant (nonzero) proportion of the observed male excess for esophageal adenocarcinoma and cancers of liver, other biliary tract, bladder, skin, colon, rectum, and lung. However, only a modest proportion of the male excess was explained by risk factors (ranging from 50% for lung cancer to 11% for esophageal adenocarcinoma). Conclusions Men have a higher risk of cancer than women at most shared anatomic sites. Such male predominance is largely unexplained by risk factors, underscoring a role for sex‐related biologic factors. The male predominance of many nonsex‐specific cancers has been explained by differences in exposure prevalence between sexes, but cancer incidence in this study remained significantly higher among men for most sites after a comprehensive adjustment for carcinogenic exposures. These findings suggest a role of sex‐related biologic mechanisms as the major determinants of sex differences in cancer risk.