Despite the advantages of breastfeeding being widely recognized, the economic level can have an influence on breastfeeding rates, with rich women breastfeeding longer than poor in high-income countries. In Italy, socio-economic differences affect breastfeeding start and continuation among most deprived people, such as in Southern Italy. The objective of the study was to evaluate the prevalence of the initiation and continuation of exclusive breastfeeding and its association with the levels of socio-economic deprivation in Sicily. A prospective cohort study with a two-phase survey in three breastfeeding detection times was conducted. Overall, 1,055 mothers were recruited with a mean age of 31 years. Breastfeeding decreased from 86% during hospitalization to 69% at the first month and 42% at the sixth month, yet at the same time, exclusive breastfeeding increased from 34% to 38% during hospitalization to the first month and went down to 20.2% at the sixth month. The adjusted multivariate analysis showed no association with individual inequalities. On the other hand, the context inequalities had a significant association with the risk of not following exclusive breastfeeding in the deprived class (odds ratio (OR): 2.08, confidence interval (CI) 95% 1.01–4.27) and in the very deprived class (OR: 1.83, CI 95% 1.00–3.38) at the six-month survey. These results indicate that the context inequalities begin to emerge from the return home of the mother and the child.