Background: Exposure to cow’s milk protein in early infancy could lead to increased rates of allergic diseases later in life. We investigated whether feeding a protein-hydrolyzed formula (HF) in the first 6 months of life decreased allergic diseases up to 36 months later. Methods: Newborns who had at least 1 first-degree family member with a history of atopy and could not breast-feed were enrolled. They were fed with HF or cow’s milk infant formula (CM) for at least 6 months via an open-label protocol and were monitored prospectively at 6, 18 and 36 months of age to assess allergy sensitization and allergic diseases. Results: A total of 1,002 infants were enrolled and 679 infants were consistently fed the same formula for the first 6 months of life (345 HF and 334 CM). The percentage of food sensitization (especially to milk protein) was significantly lower in the HF group than in the CM group at 36 months (12.7 vs. 23.4%, p = 0.048). There was no significant difference in the prevalence of aeroallergen sensitization between the groups. Occurrence of allergic diseases during the first 3 years of life was significantly correlated with aeroallergen sensitization, but not to food allergen sensitization, parental atopy or feeding types. Conclusions: Infants fed with HF during the first 6 months of life had a significantly lower percentage of sensitization to milk protein allergens, but not allergic diseases during the first 3 years of life. Avoidance of cow’s milk protein alone in infancy is not enough to decrease rates of allergic diseases.