Breast cancer is the most common cancer among women worldwide. In addition to genetic and endocrine factors, the environment, and specifically dietary habits, plays a key role in the aetiology of this malignancy. Epidemiological and, especially, experimental studies have shown a relationship between dietary lipids and breast cancer although there are conflicting results concerning their potential to modify cancer risk in humans. Abundant data have attributed a potential chemopreventive effect to extra-virgin olive oil (EVOO), the main source of fat in the Mediterranean diet, which is associated with low incidence and mortality rates from cardiovascular disease and some cancers, including that of the breast. It is well-established that the healthy effects of EVOO can be attributed both to its particular fatty acid composition (a high content in oleic acid (OA), a suitable quantity of essential polyunsaturated fatty acids (PUFA) and a relatively low n-6 PUFA/n-3 PUFA ratio) and its richness in minor bioactive compounds such as squalene and phenolic antioxidants. The specific mechanisms by which EVOO and other dietary lipids may exert their modulatory effects on cancer are not fully understood although abundant research has proposed the following: They influence in the stages of the carcinogenesis process, oxidative stress, alteration of the hormonal status, modification of the structure and function of cell membranes, modulation of cell signalling transduction pathways, regulation of gene expression and influence in the immune system. This article will explore the current knowledge of these mechanisms, including our own results in the context of the international literature.