Insulin-like growth factor-I (IGF-I) and IGF-binding protein-3 (IGFBP-3) appear to influence breast cancer risk and are hypothesized to mediate the effects of several cancer risk factors that depend on menopausal status. We investigated associations among cancer risk factors and plasma IGF-I and IGFBP-3 in 882 healthy control women (426 premenopausal, 456 postmenopausal) from two population-based breast cancer case–control studies. Interactions with menopausal status were statistically tested. We observed associations with non-modifiable (age, benign breast disease) and modifiable factors [body mass index (BMI), physical activity, smoking habits, alcohol consumption]. Furthermore, we demonstrated statistical interactions with menopausal status. Premenopausal IGFBP-3 levels increased and postmenopausal levels decreased with age (p-interaction = 0.001). Overweight postmenopausal women had higher IGF-I (p = 0.049) and IGFBP-3 (p = 0.005) levels than women with lower BMI. Postmenopausal IGF-I levels were positively associated with physical activity (p-trend = 0.012, p-interaction = 0.050). Postmenopausal current smokers had lower IGF-I (p = 0.014) and IGFBP-3 levels (p = 0.011). Increasing alcohol consumption was associated with lower premenopausal IGF-I (p-trend = 0.002, p-interaction = 0.004) and higher postmenopausal IGFBP-3 levels (p = 0.019). Benign breast disease was associated with higher premenopausal (p = 0.044) and postmenopausal (p = 0.002) IGF-I levels. IGF-I and/or IGFBP-3 potentially mediate changes in breast cancer risk associated with BMI, benign breast disease, and perhaps alcohol consumption. Other observed associations suggest that neither IGF-I nor IGFBP-3 alone acts as mediator. Consideration of menopausal status may help disentangle carcinogenic pathways involving IGF proteins.