Progestogens appear to influence breast density more than estrogens in postmenopausal women taking hormone replacement therapy (HRT), but little is known about the effect of circulating hormones on mammographic density among premenopausal women. This cross-sectional study explores the relationship of body weight and sex steroids with breast density. Luteal serum samples were analyzed for progesterone, estrone, estradiol, and sex hormone-binding globulin (SHBG). Mammograms were assessed for density using a computer-assisted method. We performed mediation tests using multiple linear regression models. Significant associations of SHBG and estradiol with percentage density disappeared after adjustment for body weight and other covariates, whereas the relationship between progesterone and breast density remained borderline significant. The mediation tests indicated that progesterone has a direct and an indirect effect on mammographic density. Our finding that progesterone shows a stronger association with percentage of mammographic density than estrogen agrees with clinical reports describing denser mammographic patterns among women taking HRT, although these women differ in menopausal status.