Abstract Although ample evidence indicates that immune cell homeostasis is an important prognostic outcome determinant in patients with cancer, few studies have examined whether it also determines cancer risk among initially healthy individuals. We performed a case–cohort study including incident cases of breast (n = 207), colorectal (n = 111), lung (n = 70), and prostate (n = 201) cancer as well as a subcohort (n = 465) within the European Prospective Investigation into Cancer and Nutrition-Heidelberg cohort. Relative counts of neutrophils, monocytes, and lymphocyte sublineages were measured by qRT-PCR. HRs and 95% confidence intervals were used to measure the associations between relative counts of immune cell and cancer risks. When relative counts of immune cell types were taken individually, a significant positive association was observed between relative counts of FOXP3+ regulatory T cells (Tregs) and lung cancer risk, and significant inverse associations were observed between relative CD8+ counts and risks of lung and breast cancer (overall and ER+ subtype). Multivariable models with mutual adjustments across immune markers showed further significant positive associations between higher relative FOXP3+ T-cell counts and increased risks of colorectal and breast cancer (overall and ER− subtype). No associations were found between immune cell composition and prostate cancer risk. These results affirm the relevance of elevated FOXP3+ Tregs and lower levels of cytotoxic (CD8+) T cells as risk factors for tumor development. Significance: This epidemiologic study supports a role for both regulatory and cytotoxic T cells in determining cancer risk among healthy individuals. See related commentary by Song and Tworoger, p. 1801