Our aim was to compare the effect on well-being of two different continuous combined hormone replacement therapies (HRT) in women starting treatment ('starters') and women switching from mainly sequential HRT ('switchers'). The design was a randomized, double-blind, 1-year, prospective study, including 249 postmenopausal women treated with 0.625 mg conjugated estrogen (CE)/5 mg medroxyprogesterone acetate (MPA) or 2 mg estradiol/1 mg norethisterone acetate (NETA) continuously. The main outcome measure was well-being, reported daily on a validated symptom scale during treatment cycles 1, 2, 6 and 13. Both treatment groups, starters and switchers, improved significantly in episodes of sweating during the first 6 months (p < 0.05). Women treated with estradiol/NETA experienced more breast tenderness compared to women using CE/MPA during the whole study period (p < 0.001), whereas there were no differences in negative mood symptoms between treatment groups. Starters experienced improved well-being during the whole study, whereas switchers experienced a transient improvement during the first 2 months. Overall, negative mood symptoms were more frequently reported by women with a history of premenstrual syndrome (PMS) (p < 0.05). Progestogen side-effects were more pronounced with estradiol/NETA than with CE/MPA combinations. Individual factors, such as previous PMS and previous HRT use, should be taken into consideration when prescribing HRT.