Introduction: Prior research supports an association between endogenous sex steroids and breast cancer among postmenopausal women; the association is less clear among premenopausal women. Methods: We evaluated the associations between estrogens, androgens, progesterone and sex hormone binding globulin (SHBG) and breast cancer in a nested case-control study in the Nurses’ Health Study II. Between 1996 and 1999, 29,611 participants provided blood samples; 18,521 provided samples timed in early follicular and mid-luteal phases of the menstrual cycle. A total of 634 women, premenopausal at blood collection, developed breast cancer between 1999 and 2009 and were matched to 1,264 controls (514 cases and 1,030 controls with timed samples). We used conditional logistic regression controlling for breast cancer risk factors for overall analyses; unconditional logistic regression additionally controlling for matching factors was used for subgroup analyses. Results: In analyses of premenopausal estrogens including breast cancers diagnosed both before and after menopause, there was no association between follicular estradiol, estrone and free estradiol and risk of either total or invasive breast cancer. Luteal estradiol was positively associated with estrogen receptor positive (ER +)/progesterone receptor positive (PR+) cancers (5th vs. 1st quintile odds ratio (OR): 1.7 (95% confidence interval (CI): 1.0 to 2.9), Ptrend = 0.02). Luteal estrone, free estradiol and progesterone were not associated with risk. Androgens were suggestively or significantly associated with risk when the sample was restricted to invasive tumors (for example, testosterone: OR: 1.4 (1.0 to 2.0), Ptrend = 0.23) and ER+/PR+ disease (testosterone: OR: 1.7 (1.1 to 2.6) Ptrend = 0.10; dehydroepiandrosterone sulfate (DHEAS) OR: 1.3 (0.8 to 2.0) Ptrend = 0.05). SHBG was not associated with breast cancer risk. The results varied by menopausal status at diagnosis, with follicular estradiol suggestively positively associated with breast cancers in women premenopausal at diagnosis (OR: 1.1 (0.9 to 1.3) and significantly inversely associated with postmenopausal disease (OR: 0.6 (0.4 to 0.9); Pheterogeneity < 0.01). Conclusions: Androgens were associated with modestly increased risk of breast cancer in this population, with stronger associations for invasive and ER+/PR+ disease. Luteal phase estradiol levels were suggestively associated with ER+/PR+ tumors but no other strong associations were observed with estrogens. Associations with follicular phase estrogens may vary by menopausal status at diagnosis, but case numbers were limited. Additional studies to confirm the role of premenopausal hormones in the etiology of both premenopausal and postmenopausal breast cancer are needed.