Purpose: The relationship between egg and cholesterol intakes, and cardiovascular disease is controversial. Meta-analyses indicate that egg consumption is associated with increased cardiovascular disease and mortality, but reduced incidence of hypertension, a major risk factor for cardiovascular disease. This study aims to investigate the associations between consumption of egg and cholesterol, and hypertension risk in a cohort of French women. Methods: We used data from the E3N cohort study, a French prospective population-based study initiated in 1990. From the women in the study, we included those who completed a detailed diet history questionnaire, and who did not have prevalent hypertension or cardiovascular disease at baseline, resulting in 46,424 women. Hypertension cases were self-reported. Egg and cholesterol intake was estimated from dietary history questionnaires. Cox proportional hazard models with time-updated exposures were used to calculate hazard ratios. Spline regression was used to determine any dose–respondent relationship. Results: During 885,321 person years, 13,161 cases of incident hypertension were identified. Higher cholesterol consumption was associated with an increased risk of hypertension: HRQ1–Q5 = 1.22 [1.14:1.30], with associations similar regarding egg consumption up to seven eggs per week: HR4–7 eggs = 1.14 [1.06:1.18]. Evidence for a non-linear relationship between hypertension and cholesterol intake was observed. Conclusions: Egg and cholesterol intakes were associated with a higher risk of hypertension in French women. These results merit further investigation in other populations.