Evidence from some previous studies suggests that lipophilic antioxidants, particularly carotenoids, may reduce the risk of breast cancer. We prospectively investigated the associations of plasma levels of tocopherols, retinol, carotenoids with the risk of developing breast cancer among Chinese women. We conducted a study of 365 incident breast cancer cases and 726 individually matched controls nested within a large cohort study of women aged 40–70 years at baseline. We observed no associations between breast cancer risk and any of the tocopherols, retinol, and most carotenoids. However, high levels of plasma lycopene other than trans, 5- and 7-cis or trans α-cryptoxanthin were inversely associated with the risk of developing breast cancer. Our results do not support an overall protective effect of lipophilic antioxidants on breast cancer risk. The few inverse associations observed for subtype of carotenoids may need to be confirmed in future studies.