Introduction: Paradoxically, a breast cancer risk reduction with conjugated equine estrogens (CEE) and a risk elevation with CEE plus medroxyprogesterone acetate (CEE + MPA) were observed in the Women’s Health Initiative (WHI) randomized controlled trials. The effects of hormone therapy on serum sex hormone levels, and on the association between baseline sex hormones and disease risk, may help explain these divergent breast cancer findings. Methods: Serum sex hormone concentrations were measured for 348 breast cancer cases in the CEE + MPA trial and for 235 cases in the CEE trial along with corresponding pair-matched controls, nested within the WHI trials of healthy postmenopausal women. Association and mediation analyses, to examine the extent to which sex hormone levels and changes can explain the breast cancer findings, were conducted using logistic regression. Results: Following CEE treatment, breast cancer risk was associated with higher concentrations of baseline serum estrogens, and with lower concentrations of sex hormone binding globulin. However, following CEE + MPA, there was no association of breast cancer risk with baseline sex hormone levels. The sex hormone changes from baseline to year 1 provided an explanation for much of the reduced breast cancer risk with CEE. Specifically, the treatment odds ratio (95% confidence interval) increased from 0.71 (0.43, 1.15) to 0.92 (0.41, 2.09) when the year 1 measures were included in the logistic regression analysis. In comparison, the CEE + MPA odds ratio was essentially unchanged when these year 1 measures were included. Conclusions: Breast cancer risk remains low following CEE use among women having favorable baseline sex hormone profiles, but CEE + MPA evidently produces a breast cancer risk for all women similar to that for women having an unfavorable baseline sex hormone profile. These patterns could reflect breast ductal epithelial cell stimulation by CEE + MPA that is substantially avoided with CEE, in conjunction with relatively more favorable effects of either regimen following a sustained period of estrogen deprivation. These findings may have implications for other hormone therapy formulations and routes of delivery. Trial registration clinicaltrials.gov identifier: NCT00000611