New pre-exposure prophylaxis (PrEP) strategies tailored to the needs and expectations of individuals at risk of HIV acquisition are needed. In the CAPRISA 082 prospective cohort study in KwaZulu-Natal, South Africa, sexually active women aged 18 to 30 reported, through interviewer-administered questionnaires, on their prior contraceptive experience and interest in both approved and potential future PrEP dosage forms (oral PrEP, long-acting injectable PrEP, and PrEP implants) between March 2016 and February 2018. Univariable and multivariable Poisson regression models with robust standard errors were used to detect associations between women's prior and current contraceptive use and interest in PrEP options. Of 425 women enrolled, 381 (89.6%) had used at least one modern female contraceptive method previously, with injectable depot medroxyprogesterone acetate (DMPA) being used by 79.8% (n = 339). Women were more likely to show interest in a future PrEP implant if they were currently using (aRR 2.1, CI 1.43-3.07, p = 0.0001) or had ever used (aRR 1.65, CI 1.14-2.40, p = 0.0087) a contraceptive implant, and were more likely to choose an implant as their first choice method than the implant-naïve (current users aRR 3.2, CI 1.79-5.73, p < 0.0001; "ever" users aRR 2.12, CI 1.16-3.86, p = 0.0142). Women were more interested in injectable PrEP if they had used injectable contraceptives (current users aRR 1.24, CI 1.06-1.46, p = 0.0088; "ever" users aRR 1.72, CI 1.20-2.48, p = 0.0033); and were more interested in oral PrEP if they had ever used oral contraceptives (aRR 1.3, CI 1.06-1.59, p = 0.0114). This apparent relationship between women's contraceptive experience and their interest in novel forms of PrEP in an equivalent dosage form may play a future role in strengthening HIV prevention efforts in women at high risk of HIV acquisition.