Abstract Background and Aims Gallbladder cancer (GBC) has a female predominance, whereas the other biliary tract cancers (BTCs) have a male predominance, suggesting that sex hormones may be involved in carcinogenesis. We sought to evaluate the association between menopausal hormone therapy (MHT) and the risk of BTC in women. Approach and Results This nested case‐control study was conducted in the UK Clinical Practice Research Datalink. Cases diagnosed between 1990 and 2017 with incident primary cancers of the gallbladder (GBC), cholangiocarcinoma (CCA), ampulla of Vater (AVC), and mixed type were matched to 5 controls on birth year, diagnosis year, and years in the general practice using incidence density sampling. Conditional logistic regression was used to calculate ORs and 95% CIs for associations between MHT use and BTC type. The sample consisted of 1,682 BTC cases (483 GBC, 870 CCA, 105 AVC, and 224 mixed) and 8,419 matched controls with a mean age of 73 (SD, 11) years. Combined formulations (estrogen‐progesterone) were associated with an increased GBC risk (OR, 1.97; 95% CI, 1.08, 3.59). Orally administered MHT was associated with an increased GBC risk (OR, 2.28; 95% CI, 1.24, 4.17). Estrogen‐only formulations (OR, 0.59; 95% CI, 0.34, 0.93) and cream or suppository administrations (OR, 0.57; 95% CI, 0.34, 0.95) were associated with decreased CCA risk. The number of prescriptions, dose, duration of use, and time since last use were not associated with GBC or CCA risk. MHT use was not associated with risk of AVC or mixed cancer. Conclusions Combination MHT formulations and oral administrations were associated with increased GBC risk, whereas estrogen‐only formulations were associated with a lower CCA risk. MHT formulation and administration should be carefully considered when prescribing.