A cloud-based firewall system and service is provided to protect customer sites from attacks, leakage of confidential information, and other security threats. In various embodiments, such a firewall system and service can be implemented in conjunction with a content delivery network (CDN) having a plurality of distributed content servers. The CDN servers receive requests for content identified by the customer for delivery via the CDN. The CDN servers include firewalls that examine those requests and take action against security threats, so as to prevent them from reaching the customer site. The CDN provider implements the firewall system as a managed firewall service, with the operation of the firewalls for given customer content being defined by that customer, independently of other customers. In some embodiments, a customer may define different firewall configurations for different categories of that customer's content identified for delivery via the CDN.