The role of anti-Müllerian hormone (AMH) levels in incident vasomotor symptoms (VMS) is largely unknown. This study aimed to investigate the relationship between AMH levels and the development of early-onset VMS among premenopausal women. Our cohort study comprised 2041 premenopausal women aged 42–52 years free of VMS at baseline whose AMH levels were measured. VMS, including hot flushes and night sweats, were assessed using the Korean version of the Menopause-specific Quality of Life questionnaire. Early-onset VMS was defined as the occurrence of VMS prior to menopause. Parametric proportional hazards models were used to estimate adjusted hazard ratios (HRs) and 95% CI. During a median follow-up of 4.4 years, 708 premenopausal women developed early-onset VMS (incidence rate, 8.0 per 100 person-years). Lower AMH levels were statistically significantly associated with an increased risk of early-onset VMS. After adjusting for age and other confounders, multivariable-adjusted HRs (95% CI) for incident VMS comparing AMH quintiles 4–1 to the highest quintile were 1.02 (0.78–1.33), 1.37 (1.06–1.76), 1.36 (1.04–1.76), and 2.38 (1.84–3.08), respectively (P for trend < 0.001). Our results support an independent role of serum AMH levels in predicting incident early-onset VMS among premenopausal women in the late reproductive stage.