Dairy products might influence breast cancer (BC) risk. However, evidence is inconsistent. We sought to examine the association between dairy product consumption—and their subtypes—and incident BC in a Mediterranean cohort. The SUN (“Seguimiento Universidad de Navarra”) Project is a Spanish dynamic ongoing cohort of university graduates. Dairy product consumption was estimated through a previously validated 136-item food frequency questionnaire (FFQ). Incident BC was reported in biennial follow-up questionnaires and confirmed with revision of medical records and consultation of the National Death Index. Hazard ratios (HR) and 95% confidence intervals (CI) were estimated with Cox regression models. Among 123,297 women-years of follow-up (10,930 women, median follow-up 12.1 years), we confirmed 119 incident BC cases. We found a nonlinear association between total dairy product consumption and BC incidence (pnonlinear = 0.048) and a significant inverse association for women with moderate total dairy product consumption (HRQ2vs.Q1 = 0.49 (95% CI 0.28–0.84); HRQ3vs.Q1 = 0.49 (95% CI 0.29–0.84) ptrend = 0.623) and with moderate low-fat dairy product consumption (HRQ2vs.Q1 = 0.58 (95% CI 0.35–0.97); HRQ3vs.Q1 = 0.55 (95% CI 0.32–0.92), ptrend = 0.136). In stratified analyses, we found a significant inverse association between intermediate low-fat dairy product consumption and premenopausal BC and between medium total dairy product consumption and postmenopausal BC. Thus, dairy products, especially low-fat dairy products, may be considered within overall prudent dietary patterns.