This study aimed to identify specific haemostatic changes that might account for previous observations of higher venous thromboembolic risk among users of combined oral contraceptives (COCs) containing desogestrel (DSG) than levonorgestrel (LNG). Sixty‐three current users of monophasic 30 μg oestrogen COCs containing either LNG or DSG omitted one pill‐free interval (PFI), switching immediately either to the opposite formulation for one cycle or continuing with the same pill. Venesection followed the initial PFI after one cycle (21 tablets) and two cycles (42 tablets) of continuous pill taking, and after the following PFI. Protein S was lower in users of DSG than LNG formulations after the first PFI (mean ± SD, 0·67 ± 0·09 vs 0·76 ± 0·10, P < 0·001) and after one cycle (0·61 ± 0·09 vs 0·76 ± 0·09, P < 0·0001). Protein S decreased when switching from LNG to DSG pills (0·77 ± 0·07–0·65 ± 0·06, P < 0·0001), mirrored by an increase at switching from DSG to LNG formulations (0·61 ± 0·08–0·73 ± 0·10, P < 0·005). Mean protein S levels remained within the normal range. Three different markers of thrombin generation remained unaltered. Potential explanations for COC‐related thrombotic events are ‘acquired resistance to activated protein C’ or inhibition of fibrinolysis. A potential role has been described for protein S deficiency in both. A further triggering factor is a probable prerequisite for actual thrombosis, but pill‐takers whose levels of protein S were in the lowest percentiles may be at greatest risk.