Abstract Cancer of unknown primary (CUP) is a metastasised malignancy with no identifiable primary tumour origin. Despite the frequent occurrence and bleak prognosis of CUP, research into its aetiology is scarce. Our study investigates alcohol consumption, tobacco smoking and CUP risk. We used data from the Netherlands Cohort Study, a cohort that includes 120 852 participants aged 55 to 69 years, who completed a self‐administered questionnaire on cancer risk factors at baseline. Cancer follow‐up was established through record linkage to the Netherlands Cancer Registry and Dutch Pathology Registry. After 20.3 years of follow‐up, 963 CUP cases and 4288 subcohort members were available for case‐cohort analyses. Multivariable‐adjusted hazard ratios (HRs) were calculated using proportional hazard models. In general, CUP risk increased with higher levels of alcohol intake ( P trend = .02). The association was more pronounced in participants who drank ≥30 g of ethanol per day (HR: 1.57, 95% confidence interval [CI]: 1.20‐2.05) compared to abstainers. Current smokers were at an increased CUP risk (HR: 1.59, 95% CI: 1.29‐1.97) compared to never smokers. We observed that the more the cigarettes or the longer a participant smoked, the higher the CUP risk was ( P trend = .003 and P trend = .02, respectively). Interaction on additive scale was found for participants with the highest exposure categories of alcohol consumption and cigarette smoking frequency and CUP risk. Our findings demonstrate that alcohol consumption and cigarette smoking are associated with increased CUP risk. Lifestyle recommendations for cancer prevention regarding not drinking alcohol and avoiding exposure to smoking are therefore also valid for CUP.