The associations between breast tenderness during use of conjugated equine estrogen (CEE) therapy with or without medroxyprogesterone (MPA) therapy and subsequent breast cancer risk are unknown. We analyzed data from the Women's Health Initiative Estrogen plus Progestin (N = 16,608, 5.6 years intervention) and estrogen-alone (N = 10,739, 6.8 years intervention) clinical trials until trial close-out (Spring 2005). At baseline and annually, participants underwent mammography and clinical breast exam. Self-reported breast tenderness was assessed at baseline and 12 months. Invasive breast cancer was confirmed by medical record review. The risk of new-onset breast tenderness after 12 months was significantly higher among women assigned to active therapy than placebo (CEE-alone vs. placebo risk ratio [RR] 2.15, 95% confidence interval [CI] 1.97-2.35; CEE + MPA vs. placebo RR 3.07, 95% CI 2.85-3.30). CEE + MPA doubled the risk of invasive breast cancer among women with baseline breast tenderness (hazard ratio [HR] 2.16, 95% CI 1.29-3.74), but had a smaller effect among women without baseline breast tenderness (HR 1.17; 95% CI 0.97-1.41). New-onset breast tenderness was associated with a higher risk of breast cancer among women assigned to CEE + MPA (HR 1.33, 95% CI 1.02-1.72, P = 0.03), but not among women assigned to CEE-alone (HR 0.98, 95% CI 0.62-1.53). New-onset breast tenderness during use of CEE + MPA was associated with increased subsequent breast cancer risk. The association of CEE + MPA therapy with increased breast cancer risk was especially pronounced among women with baseline breast tenderness.