The transforming growth factor β (TGF-β) pathway plays an important role in breast cancer progression and in metabolic regulation and energy homeostasis. The prognostic significance of TGF-β interaction with obesity and physical activity in breast cancer patients remains unclear. We evaluated the expression of TGF-β type II receptor and pSmad2 immunohistochemically in breast cancer tissue from 1,045 patients in the Shanghai Breast Cancer Study (2002–2005). We found that the presence of nuclear pSmad2 in breast cancer cells was inversely associated with overall and disease-free survival, predominantly among participants with lower body mass index (BMI; weight (kg)/height (m)2) and a moderate level of physical activity. However, the test for multiplicative interaction produced a significant result only for BMI (for disease-free survival and overall survival, adjusted hazard ratios were 1.79 and 2.05, respectively). In 535 earlier-stage (T1-2, N0) invasive cancers, nuclear pSmad2 was associated with improved survival among persons with higher BMI (overall survival: adjusted hazard ratio = 0.27, 95% confidence interval: 0.09, 0.86). The cytoplasmic pattern of TGF-β type II receptor expression in cancer cells was significantly associated with a lower survival rate but was not modified by BMI or physical activity. Our study suggests that the TGF-β pathway in tumor cells is involved in breast cancer prognosis and may be modified by BMI through pSmad2.