Discontinuation of oral anticoagulants may expose non-valvular atrial fibrillation (NVAF) patients to an increased risk of stroke. This study describes the real-world discontinuation rates and compared the risk of drug discontinuation among NVAF patients initiating apixaban, warfarin, dabigatran, or rivaroxaban. This retrospective cohort study evaluated newly-anticoagulated NVAF patients in the MarketScan® data population from 01/01/2012 through 12/31/2014. Discontinuation was defined as a lack of subsequent prescription of the index drug within 30 days after the last supply day of the last prescription. A Cox model was used to estimate the hazard ratio (HR) of discontinuation, adjusted for age, sex, and comorbidities. Among 45,361 eligible NVAF patients, 15,461 (34.1%) initiated warfarin; 7,438 (16.4%) apixaban; 4,661 (10.3%) dabigatran; and 17,801 (39.2%) initiated rivaroxaban treatment. Compared to warfarin, patients who initiated dabigatran (adjusted HR [aHR]: 0.84, 95% confidence interval [CI]: 0.80–0.87, P<0.001), rivaroxaban (aHR: 0.70, 95% CI: 0.68–0.73, P<0.001), or apixaban (aHR: 0.57, 95% CI: 0.55–0.60, P<0.001) were 16%, 30%, and 43% less likely to discontinue treatment, respectively. When compared to apixaban, patients who initiated dabigatran (aHR: 1.46, 95% CI: 1.38–1.54, P<0.001) or rivaroxaban (aHR: 1.23, 95% CI: 1.17–1.28, P<0.001) were more likely to discontinue treatment. Among newly-anticoagulated NVAF patients in the real-world setting, initiation on rivaroxaban, dabigatran, or apixaban was associated with a significantly lower risk of discontinuation compared to warfarin. When compared to apixaban, patients who initiated treatment with warfarin, dabigatran, or rivaroxaban were more likely to discontinue treatment.