<b><i>Background:</i></b> Estimated effects of breast-feeding on childhood health vary between studies, possibly due to confounding by baseline maternal and child characteristics. Possible time-dependent confounding has received little consideration. Our aim was to evaluate the impact of such confounding. <b><i>Methods:</i></b> We estimated the relationship between cumulative exclusive breast-feeding up to 6 months and wheezing, rash and body mass index (BMI) at 12 months [in the Whistler cohort (n = 494) and PROBIT (n = 11,463)], and wheezing, rash, asthma, hay fever, eczema, allergy and BMI at age 6.5 years (PROBIT). We adjusted for time-dependent confounding by weight, length, rash, respiratory illness and day care attendance using marginal structural models (MSMs). <b><i>Results:</i></b> Weight and day care attendance appeared potential time-dependent confounders, since these predicted breast-feeding status and were influenced by previous breast-feeding. However, adjustment for time-dependent confounders did not markedly change the estimated associations. For example, in PROBIT the adjusted increase in BMI at 12 months per 1-month increase in exclusive breast-feeding was 0.04 (95% CI -0.09 to 0.01) using logistic regression and -0.06 (95% CI -0.11 to -0.01) using MSM. In Whistler, these estimates were each -0.05 (95% CI -0.10 to 0.00). <b><i>Conclusions:</i></b> In two cohort studies, there was little evidence of time-dependent confounding by weight, length, rash, respiratory illness or day care attendance of the effects of breast-feeding on early childhood health.