Interval breast cancer refers to cancer diagnosed after a negative screening mammogram and before the next scheduled screening mammogram. Interval breast cancer has worse prognosis than screening-detected cancer. Body mass index (BMI) influences the accuracy of mammography and overall postmenopausal breast cancer risk, yet how is obesity associated with postmenopausal interval breast cancer incidence is unclear. The current study included cancer-free postmenopausal women aged 50–79 years at enrollment in the Women’s Health Initiative who were diagnosed with breast cancer during follow-up. Analyses include 324 interval breast cancer cases diagnosed within one year after the participant’s last negative screening mammogram and 1969 screening-detected breast cancer patients. Obesity (BMI ≥ 30 kg/m2) was measured at baseline. Associations between obesity and incidence of interval cancer were determined by sequential logistic regression analyses. In multivariable-adjusted models, obesity was inversely associated with interval breast cancer risk [OR (95% CI) = 0.65 (0.46, 0.92)]. The inverse association persisted after excluding women diagnosed within 2 years [OR (95% CI) = 0.60 (0.42, 0.87)] or 4 years [OR (95% CI) = 0.56 (0.37, 0.86)] of enrollment, suggesting consistency of the association regardless of screening practices prior to trial entry. These findings warrant confirmation in studies with body composition measures.