Birth cohort studies have suggested that early exposure to furred pets protects from later asthma and allergy. The aim of the present study was to evaluate the association between exposure or sensitization to cat or dog in infancy, and later asthma and allergy assessed at the median ages of 4.0, 7.2 and 12.3 yr, in children who have wheezed at <24 months of age. Exposure to cat and dog in infancy was assessed by interviewing the parents. The child was considered as sensitized, if the allergen-specific IgE to cat or to dog was ≥0.35 kU/l, or if there was a positive skin test response. When the 20 children with persistent childhood asthma (doctor-diagnosed asthma at all three control visits) were compared with the other 61 children, an early exposure to dog (OR = 0.14, p = 0.034)) decreased the asthma risk and an early sensitization to cat (OR = 5.92, p = 0.008) and dog (OR = 9.33, p = 0.001) increased the asthma risk. There were less cat and dog keeping in atopic families and the effect of sensitization was, but the effect of exposure was not, robust to adjustments in multivariate analyses. The present study demonstrates, in a long-term follow-up after early wheezing, that early sensitization to cat and dog increases the risk of later asthma but early exposure to cat or dog has no such effect. Dog keeping was less frequent in atopic families, which may explain that the protective effect of early exposure to dog was lost in multivariate analyses.