Aims We compared the new use of sodium‐glucose cotransporter‐2 inhibitor (SGLT2i) versus dipeptidyl peptidase‐4 inhibitor (DPP4i) and the risk of cardiorenal disease, heart failure (HF) or chronic kidney disease (CKD), in patients with type 2 diabetes without a history of prevalent cardiovascular and renal disease, defined as cardiovascular and renal disease (CVRD) free, managed in routine clinical practice. Materials and methods In this observational cohort study, patients were identified from electronic health records from England, Germany, Japan, Norway, South Korea and Sweden, during 2012‐2018. In total, 1 006 577 CVRD‐free new users of SGLT2i or DPP4i were propensity score matched 1:1. Unadjusted Cox regression was used to estimate hazard ratios (HRs) for outcomes: cardiorenal disease, HF, CKD, stroke, myocardial infarction (MI), cardiovascular and all‐cause mortality. Results Baseline characteristics were well balanced between the treatment groups (n = 105 130 in each group) with total follow‐up of 187 955 patient years. Patients had a mean age of 56 years, 43% were women and they were indexed between 2013 and 2018. The most commonly used agents were dapagliflozin (91.7% of exposure time) and sitagliptin/linagliptin (55.0%), in the SGLT2i and DPP4i, groups, respectively. SGLT2i was associated with lower risk of cardiorenal disease, HF, CKD, all‐cause and cardiovascular mortality; HR (95% confidence interval), 0.56 (0.42‐0.74), 0.71 (0.59‐0.86), 0.44 (0.28‐0.69), 0.67 (0.59‐0.77), and 0.61 (0.44‐0.85), respectively. No differences were observed for stroke 0.87 (0.69‐1.09) and MI 0.94 (0.80‐1.11). Conclusion In this multinational observational study, SGLT2i was associated with a lower risk of HF and CKD versus DPP4i in patients with type 2 diabetes otherwise free from both cardiovascular and renal disease.