Aims: To estimate the influence of non-medical use of prescription opioids (NMUPO) on heroin initiation among US veterans receiving medical care. Design: Using a multivariable Cox regression model, we analyzed data from a prospective, multi-site, observational study of HIV-infected and an age/race/site-matched control group of HIV-uninfected veterans in care in the United States. Approximately annual behavioral assessments were conducted and contained self-reported measures of NMUPO and heroin use. Setting: Veterans Health Administration (VHA) infectious disease and primary care clinics in Atlanta, Baltimore, New York, Houston, Los Angeles, Pittsburgh and Washington, DC. Participants: A total of 3396 HIV-infected and uninfected patients enrolled into the Veterans Aging Cohort Study who reported no life-time NMUPO or heroin use, had no opioid use disorder diagnoses at baseline and who were followed between 2002 and 2012. Measurements: The primary outcome measure was self-reported incident heroin use and the primary exposure of interest was new-onset NMUPO. Our final model was adjusted for socio-demographics, pain interference, prior diagnoses of post-traumatic stress disorder and/or depression and self-reported other substance use. Findings: Using a multivariable Cox regression model, we found that non-medical use of prescription opioids NMUPO was associated positively and independently with heroin initiation [adjusted hazard ratio (AHR) = 5.43, 95% confidence interval (CI) = 4.01, 7.35]. Conclusions: New-onset non-medical use of prescription opioids (NMUPO) is a strong risk factor for heroin initiation among HIV-infected and uninfected veterans in the United States who reported no previous history of NMUPO or illicit opioid use