The onset of menopause has important implications on women’s fertility and health. We previously identified genetic variants in genes involved in initial follicle recruitment as potential modifiers of age at natural menopause. The objective of this study was to extend our previous study, by searching for pairwise interactions between tagging single nucleotide polymorphisms (tSNPs) in the 5 genes previously selected (AMH, AMHR2, BMP15, FOXL2, GDF9). We performed a cross-sectional study among 3445 women with a natural menopause participating in the Prospect-EPIC study, a population-based prospective cohort study, initiated between 1993 and 1997. Based on the model-based multifactor dimensionality reduction (MB-MDR) test with a permutation-based maxT correction for multiple testing, we found a statistically significant interaction between rs10407022 in AMH and rs11170547 in AMHR2 (p = 0.019) associated with age at natural menopause. Rs10407022 did not have a statistically significant main effect. However, rs10407022 is an eQTL SNP that has been shown to influence mRNA expression levels in lymphoblastoid cell lines. This study provides additional insights into the genetic background of age at natural menopause and suggests a role of the AMH signaling pathway in the onset of natural menopause. However, these results remain suggestive and replication by independent studies is necessary.