Breast cancer (BC) is the leading cause of cancer death in women. Adipokines, and other inflammation molecules linked to adiposity, are suspected to be involved in breast carcinogenesis, however prospective findings are inconclusive. In a prospective nested case-control study within the EPIC-Varese cohort, we used conditional logistic regression to estimate rate ratios (RRs) for BC, with 95% confidence intervals (CI), in relation to plasma levels of C-reactive protein (CRP), tumor necrosis factor-alpha (TNF-α), interleukin-6, leptin, and adiponectin, controlling for BC risk factors. After a median 14.9 years, 351 BC cases were identified and matched to 351 controls. No marker was significantly associated with BC risk overall. Significant interactions between menopausal status and CRP, leptin, and adiponectin were found. Among postmenopausal women, high CRP was significantly associated with increased BC risk, and high adiponectin with significantly reduced risk. Among premenopausal women, high TNF-α was associated with significantly increased risk, and high leptin with reduced risk; interleukin-6 was associated with increased risk only in a continuous model. These findings constitute further evidence that inflammation plays a role in breast cancer. Interventions to lower CRP, TNF-α, and interleukin-6 and increase adiponectin levels may contribute to preventing BC.