Background Several studies have recently examined the risks of bleeding and of ischemic stroke and systemic embolism associated with perioperative heparin bridging anticoagulation in patients with nonvalvular atrial fibrillation. However, few studies have investigated bridging risks during vitamin K antagonist initiation in outpatient settings. Methods and Results A retrospective cohort study was conducted on individuals starting oral anticoagulation between January 2010 and November 2014 for nonvalvular atrial fibrillation managed in outpatient care and identified from French healthcare insurance. Bleeding and ischemic stroke and systemic embolism events were identified from the hospitalization database. Adjusted hazard ratios with 95% CI were estimated using Cox models during the first and 2 following months of anticoagulation. Of 90 826 individuals, 30% had bridging therapy. A total of 318 (0.35%) cases of bleeding and 151 (0.17%) ischemic stroke and systemic embolism cases were identified during the first month of follow‐up and 231 (0.31%) and 122 (0.16%) during the 2 following months, respectively. At 1 month of follow‐up, the incidence of bleeding was higher in the bridged group compared with the nonbridged group (0.47% versus 0.30%; P <0.001), and this increased risk persisted after adjustment for covariates (hazard ratio=1.60; 95% CI , 1.28–2.01). This difference disappeared after the first month of treatment (0.93; 0.70–1.23). No significant difference in the occurrence of ischemic stroke and systemic embolism was observed either at 1 month of follow‐up or later. Conclusions At vitamin K antagonist initiation for nonvalvular atrial fibrillation managed in ambulatory settings, bridging therapy is associated with a higher risk of bleeding and a similar risk of arterial thromboembolism compared with no bridging therapy.