A retrospective cohort study supplemented with a nested case‐control study was performed using two administrative databases from commercial health plans in the US to compare the incidence of pancreatic and thyroid cancer among users of exenatide versus other antidiabetic drugs (OADs). Patients with type 2 diabetes who initiated exenatide or OADs between 6/1/2005 and 6/30/2015 were included. Pancreatic and thyroid cancers were identified using chart‐validated algorithms in the cohort study.