Background: Prospective studies have consistently reported lower colorectal cancer risks associated with higher intakes of total dairy products, total milk and dietary calcium. However, less is known about whether the inverse associations vary for individual dairy products with differing fat contents. Materials and Methods: In the European Prospective Investigation into Cancer and Nutrition (EPIC), we investigated the associations between intakes of total milk and milk subtypes (whole-fat, semi-skimmed and skimmed), yoghurt, cheese, and dietary calcium with colorectal cancer risk amongst 477,122 men and women. Dietary questionnaires were administered at baseline. Multivariable hazard ratios (HRs) and 95% confidence intervals (CIs) were estimated using Cox proportional hazards models, adjusted for relevant confounding variables. Results: During the mean 11 years of follow-up, 4,513 incident cases of colorectal cancer occurred. After multivariable adjustments, total milk consumption was inversely associated with colorectal cancer risk (HR per 200 g/day 0.93, 95% CI: 0.89-0.98). Similar inverse associations were observed for whole-fat (HR per 200 g/day 0.90, 95% CI: 0.82-0.99) and skimmed milk (HR per 200 g/day 0.90, 95% CI: 0.79-1.02) in the multivariable models. Inverse associations were observed for cheese and yoghurt in the categorical models; although in the linear models, these associations were non-significant. Dietary calcium was inversely associated with colorectal cancer risk (HR per 200 mg/day 0.95, 95% CI: 0.91-0.99); this association was limited to dairy sources of calcium only (HR per 200 mg/day 0.95, 95% CI: 0.91-0.99), with no association observed for non-dairy calcium sources (HR per 200 mg/day 1.00, 95% CI: 0.81-1.24). Conclusions: Our results strengthen the evidence for a possible protective role of dairy products on colorectal cancer risk. The inverse associations we observed did not differ by the fat content of the dairy products considered.