Tamoxifen and fenretinide have been extensively studied and exhibit breast cancer-preventing activity. We aimed to assess their effect on sex hormones, sex hormone binding globulin (SHBG) and retinol, and their association with mammographic density (MD) and breast cancer events. In a double-blind, placebo-controlled trial, premenopausal women at risk for breast cancer were randomized to tamoxifen 5 mg/day, fenretinide, both agents, or placebo for 2 years. We measured MD and circulating concentrations of follicle-stimulating hormone, luteinizing hormone (LH), estradiol, progesterone, testosterone, androstenedione, dehydro-epiandrosteronesulfate, prolactin, SHBG, and retinol at baseline and on yearly intervals. The associations with breast cancer events were evaluated through competing risk and Cox regression survival models. Low-dose tamoxifen markedly and enduringly increased SHBG, whereas the increases in testosterone, estradiol, and prolactin and reduction in LH weakened after 1 year. Fenretinide increased testosterone and androstenedione and decreased retinol. MD correlated directly with SHBG and inversely with retinol. After a median follow-up of 12 years, the 10-year cumulative incidence of breast cancer events was 37 % in women with SHBG ≤ 59.3 nmol/L, 22 % in women with SHBG between 59.3 and 101 nmol/L, and 19 % in women with SHBG > 101 nmol/L (P = 0.018). The difference among SHBG tertiles remained statistically significant at multivariable analysis: HR = 2.26 (95 % CI 1.04, 4.89) for the lowest versus the highest tertile. We conclude that low-dose tamoxifen or fenretinide exhibits favorable hormonal profiles as single agents, further supporting their administration for prevention of breast cancer in premenopause. Notably, SHBG levels were inversely associated with breast neoplastic events.