Background— Menopausal hormone therapy (MHT) increases the risk of coronary heart disease (CHD) in older women with elevated low-density lipoprotein (LDLC) levels. The endogenous estrogen receptor antagonist 27-hydroxycholesterol (27OHC) is correlated with LDLC levels and may block the beneficial effects of estrogen on the cardiovascular system. Methods and Results— We conducted a nested case-control study in the Women's Health Initiative trials of 350 CHD cases and 813 matched controls to explore potential mediation by 27OHC of the dependence of the CHD risk elevation with MHT on LDLC. Baseline levels of 27OHC were not associated with CHD risk when LDLC was included in the multivariable models. The odds ratio for CHD associated with increased LDLC was 1.15 (95% confidence interval, 1.08–1.23) and was unchanged at 1.14 (95% confidence interval, 1.07–1.22) when 27OHC was added to the model. Baseline 27OHC did not interact with MHT on CHD risk ( P =0.81). In contrast, LDLC levels modified the effect of MHT on CHD risk ( P for interaction=0.02), and adding 27OHC did not affect this result. With the use of log scales, the effect of MHT on CHD increased linearly with increasing level of baseline LDLC, with a transition from no risk to increased risk at ≈3.36 mmol/L (130 mg/dL). Conclusions— This study found that 27OHC does not independently increase the risk of CHD, does not modify the increased risk of CHD resulting from MHT, and does not mediate the interaction of LDLC with MHT. Measuring blood lipids may aid in counseling individual women about initiating MHT and cardiovascular risk mitigation. Clinical Trial Registration— URL: http://www.clinicaltrials.gov . Unique identifier: NCT00000611.