Mechanistic data suggest that different types of fatty acids play a role in carcinogenesis and that antioxidants may modulate this relationship but epidemiologic evidence is lacking. Our aim was to investigate the association between plasma saturated, monounsaturated and polyunsaturated fatty acids (SFAs, MUFAs and PUFAs) and overall and breast cancer risk and to evaluate the potential modulatory effect of an antioxidant supplementation on these relationships. A nested case-control study included all first incident cancer cases diagnosed in the SU.VI.MAX study between 1994 and 2002 (n = 250 cases, one matched control/case). Participants to the SU.VI.MAX randomized controlled trial received either vitamin/mineral antioxidants or placebo during this intervention period. Baseline fatty acid composition of plasma total lipids was measured by gas chromatography. Conditional logistic regression was performed overall and stratified by intervention group. Dihomo-γ-linolenic acid (Ptrend = 0.002), the dihomo-γ-linolenic/linoleic acids ratio (Ptrend = 0.001), mead acid (Ptrend = 0.0004), and palmitoleic acid (Ptrend = 0.02) were inversely associated with overall cancer risk. The arachidonic/dihomo-γ-linolenic acids ratio (Ptrend = 0.02) and linoleic acid (Ptrend = 0.02) were directly associated with overall cancer risk. Similar results were observed for breast cancer specifically. In stratified analyses, associations were only observed in the placebo group. Notably, total PUFAs were directly associated with overall (Ptrend = 0.02) and breast cancer risk in the placebo group only. Specific SFAs, MUFAs and PUFAs were prospectively differentially associated with cancer risk. In addition, this study suggests that antioxidants may modulate these associations by counteracting the potential effects of these fatty acids on carcinogenesis.