Background There is controversy about associations between total dietary fatty acids, their classes (saturated fatty acids [SFAs], monounsaturated fatty acids, and polyunsaturated fatty acids), and risk of coronary heart disease (CHD). Specifically, the relevance of food sources of SFAs to CHD associations is uncertain. Methods and Results We conducted a case‐cohort study involving 10 529 incident CHD cases and a random subcohort of 16 730 adults selected from a cohort of 385 747 participants in 9 countries of the EPIC (European Prospective Investigation into Cancer and Nutrition) study. We estimated multivariable adjusted country‐specific hazard ratios (HRs) and 95% CIs per 5% of energy intake from dietary fatty acids, with and without isocaloric macronutrient substitutions, using Prentice‐weighted Cox regression models and pooled results using random‐effects meta‐analysis. We found no evidence for associations of the consumption of total or fatty acid classes with CHD, regardless of macronutrient substitutions. In analyses considering food sources, CHD incidence was lower per 1% higher energy intake of SFAs from yogurt (HR, 0.93 [95% CI, 0.88–0.99]), cheese (HR, 0.98 [95% CI, 0.96–1.00]), and fish (HR, 0.87 [95% CI, 0.75–1.00]), but higher for SFAs from red meat (HR, 1.07 [95% CI, 1.02–1.12]) and butter (HR, 1.02 [95% CI, 1.00–1.04]). Conclusions This observational study found no strong associations of total fatty acids, SFAs, monounsaturated fatty acids, and polyunsaturated fatty acids, with incident CHD. By contrast, we found associations of SFAs with CHD in opposite directions dependent on the food source. These findings should be further confirmed, but support public health recommendations to consider food sources alongside the macronutrients they contain, and suggest the importance of the overall food matrix.