Background Oncology guidelines suggest using the Khorana score to select ambulatory cancer patients receiving chemotherapy for primary venous thromboembolism (VTE) prevention, but its performance in different cancers remains uncertain. Objective To examine the performance of the Khorana score in assessing 6‐month VTE risk, and the efficacy and safety of low‐molecular‐weight heparin (LMWH) among high‐risk Khorana score patients. Methods This individual patient data meta‐analysis evaluated (ultra)‐LMWH in patients with solid cancer using data from seven randomized controlled trials. Results A total of 3293 patients from the control groups with an available Khorana score had lung (n = 1913; 58%), colorectal (n = 452; 14%), pancreatic (n = 264; 8%), gastric (n = 201; 6%), ovarian (n = 184; 56%), breast (n = 164; 5%), brain (n = 84; 3%), or bladder cancer (n = 31; 1%). The 6‐month VTE incidence was 9.8% among high‐risk Khorana score patients and 6.4% among low‐to‐intermediate‐risk patients (odds ratio OR, 1.6; 95% confidence interval CI, 1.1‐2.2). The dichotomous Khorana score performed differently in lung cancer patients (OR 1.1; 95% CI, 0.72‐1.7) than in the group with other cancer types (OR 3.2; 95% CI, 1.8‐5.6; Pinteraction = .002). Among high‐risk patients, LMWH decreased the risk of VTE by 64% compared with controls (OR 0.36; 95% CI, 0.22‐0.58), without increasing the risk of major bleeding (OR 1.1; 95% CI, 0.59‐2.1). Conclusion The Khorana score was unable to stratify patients with lung cancer based on their VTE risk. Among those with other cancer types, a high‐risk score was associated with a three‐fold increased risk of VTE compared with a low‐to‐intermediate risk score. Thromboprophylaxis was effective and safe in patients with a high‐risk Khorana score.