This prospective cross-sectional study compared the diagnostic accuracy of human epididymal protein 4 (HE4) with cancer antigen 125 (CA 125) and validates the risk of malignancy algorithm (ROMA) in differentiating benign from malignant ovarian tumours. The study population included 112 women with an ultrasound diagnosis of an adnexal mass, out of whom 49 women had a diagnosis of ovarian cancer following optimal debulking surgery, and 63 women had a diagnosis of benign ovarian tumour. All diagnosis was confirmed by histopathological analysis. Serum HE4 and CA 125 were assessed preoperatively according to the manufacturer’s instructions. CA 125 and HE4 cut-offs were 35 U/mL and 70 pM/L respectively. Serum CA 125 and HE4 were significantly higher in ovarian cancer patients compared to those with benign ovarian tumours (p < 0.001 and p < 0.000, respectively). HE4 had higher sensitivity (77.5% versus 69.4%), specificity (96.8% versus 82.5%), positive predictive value (PPV) (95% versus 75.6%) and negative predictive value (84.7% versus 77.6%) than CA 125. When the two markers were combined with each other in the ROMA index, Specificity and PPV reached 100% each. In the receiver operative characteristics analysis, the area under the curve for CA 125 was 0.679 (95% CI 0.566–0.791, p = 0.001), HE4 was 0.845 (95% CI 0.760–0.930, p = 0.000) and ROMA was 0.902 (95% CI 0.851–0.998, p = 0.000) and this was statistically significant (p < 0.001). Conclusively, HE4 performed better than CA 125 in differentiating benign from malignant ovarian tumours and the combination of the two biomarkers improved the detection of ovarian cancer. In addition, the cut off values corresponding to the highest accuracy for CA 125 and HE4 were 126 U/mL and 42 pM/L respectively in this study. The value for CA 125 is much higher while that of HE4 is much lower than the reference values obtained predominantly from the white population.