Measuring how far protected areas (PAs) reduce threats to nature is essential for effective conservation. This is especially important where a high degree of threat is coupled with opportunities for increasing conservation investments, such as in the Brazilian Cerrado. We examined the effectiveness of strictly protected and multiple-use PAs as well as indigenous lands (ILs) in reducing conversion in Cerrado from 2002 to 2009 by using matching methods to sample protected and unprotected sites similarly exposed to pressures. We found that both types of PAs and ILs experienced lower habitat conversion during this period than did matched unprotected sites, whether results were analysed for individual PAs or for PA networks as a whole. Judging from their matched unprotected sites, strictly PAs had similar levels of baseline conversion to multiple-use PAs, but were more effective at reducing it. This may be expected as multiple-use PAs are under less restrictive land-use rules. ILs had a strong effect in reducing conversion, though baseline rates in matched areas were also high. Our results highlight the usefulness of PAs in the Cerrado and the value of research that differentiates among PA categories.