▪ Abstract The Cox proportional-hazards regression model has achieved widespread use in the analysis of time-to-event data with censoring and covariates. The covariates may change their values over time. This article discusses the use of such time-dependent covariates, which offer additional opportunities but must be used with caution. The interrelationships between the outcome and variable over time can lead to bias unless the relationships are well understood. The form of a time-dependent covariate is much more complex than in Cox models with fixed (non–time-dependent) covariates. It involves constructing a function of time. Further, the model does not have some of the properties of the fixed-covariate model; it cannot usually be used to predict the survival (time-to-event) curve over time. The estimated probability of an event over time is not related to the hazard function in the usual fashion. An appendix summarizes the mathematics of time-dependent covariates.