Evidence from both laboratory and epidemiologic studies indicate a key role of hormones in the etiology of breast cancer. In epidemiologic studies, indirect data, including the consistent associations observed between reproductive factors and breast cancer risk, support an important contribution of hormones to risk. Recently, the associations between circulating hormones in premenopausal women and subsequent risk of breast cancer have been evaluated. To date, both positive and null associations have been observed for estrogens and inverse and null associations for progesterone with breast cancer risk. For estrogens, the relationships may vary by menstrual cycle phase (e.g., follicular versus luteal phase), although this requires confirmation. Few studies have evaluated estrogen metabolites in relation to breast cancer risk; hence, no conclusions can yet be drawn. Findings for the largely adrenal-derived dehydroepiandrosterone (DHEA) and DHEA sulfate also are inconsistent and may vary by age. However, relatively consistent positive associations have been observed between testosterone (or free testosterone) levels and breast cancer risk; these associations are of similar magnitude to those confirmed among postmenopausal women. In this review, we summarize current evidence and identify gaps and inconsistencies that need to be addressed in future studies of sex steroids and premenopausal breast cancer risk.