To evaluate the association between alcohol intake and incident chronic kidney disease measures as well as the sex differences in this association, we analyzed health screening data of 14,190,878 adults who underwent health screening ≥3 times and had glomerular filtration rate (eGFR) ≥60 mL/min/1.73 m2 and normal proteinuria at baseline. eGFR was calculated with the Chronic Kidney Disease Epidemiology Collaboration equation. Proteinuria was defined as ≥1+ dipstick proteinuria and low eGFR as <60 mL/min/1.73 m2. The risk of incident proteinuria and low eGFR was analyzed with an extended Cox model with alcohol intake level as a time-varying determinant and the annual change of eGFR with generalized linear model. A J-shape association of alcohol intake with the incident proteinuria was observed in men (adjusted hazard ratio [aHR], 0.961, 95% confidence interval [CI], 0.953–0.970 in men drinking alcohol <10 g/day; aHR 1.139, 95% CI, 1.123–1.154 in men drinking alcohol ≥40 g/day, compared with non-drinking men), and a positive association was seen in women (aHR, 1.034, 95% CI, 1.023–1.044 in women drinking alcohol <10 g/day; aHR, 1.094, 95% CI, 1.034–1.158 in women drinking alcohol ≥40 g/day, compared with non-drinking women). In both sexes, an inverse association of alcohol intake with the annual eGFR decline and incident low eGFR was observed. This study observed a beneficial effect of moderate alcohol intake on incident proteinuria in men and a protective effect of alcohol intake of any amount on the annual eGFR decline and incident low eGFR in both sexes. The long-term implications of these observations need to be elucidated with future studies.