Vitamin K antagonists (VKA) are effective in primary and secondary prevention of thromboembolism, but the associated risk of bleeding is an important limitation. The majority of bleeds are clinically mild. In this study, we assessed whether these minor bleeds are associated with major bleeding, when controlling for other important risk indicators, including the achieved quality of anticoagulation. For this, 5898 patients attending a specialized anticoagulation clinic were retrospectively studied for 1 year after initiation of VKA therapy. The risk of major bleeding was estimated using a multivariate piecewise exponential model with time-varying exposure for occurring minor bleeds. In patients with a minor bleed (N = 1015) subsequent major bleeding occurred more frequently than in patients without a minor bleed (N = 4883), with an incidence rate of 2·3 [95% confidence interval (CI) 1·4–3·7] vs. 1·2 per 100 person-years (95% CI 0·9–1·7). The adjusted relative risk of subsequent major bleeding after a minor bleed was 2·9 (95% CI 1·1–7·2, P = 0·024). The percentage of time that a patient had an International Normalized Ratio (INR) above 5 was also independently associated with major bleeding, with a 2·2-fold increased risk in patients with at least 9% of time above INR 5 (95% CI 1·3–4·0, P = 0·006). Minor bleeds alert for subsequent major bleeding, independent of the quality of anticoagulation.