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To evaluate the joint effect of body size, energy intake, and physical activity on breast cancer risk, we analyzed information on body weight history, energy intake, anthropometric measurements, and physical activity patterns in a population based case–control study. Included in this analysis were 3,458 incidence breast cancer cases and 3,474 age-frequency matched controls from the Shanghai Breast Cancer Study. High weight, height, body mass index, waist-to-hip ratio, and weight gain showed stronger associations with breast cancer risk in postmenopausal women than premenopausal women. High total physical activity was inversely associated with postmenopausal breast cancer risk (p for trend, =, 0.026) and premenopausal breast cancer (p for trend, =, 0.059). The odds ratios for women with a high waist-to-hip ratio (≥0.84) and low total physical activity (≤10.9 MET-h/day) had the highest risk for breast cancer (OR, =, 2.7, 95% CI: 1.4–4.9 for postmenopausal women, OR, =, 2.1, 95% CI: 1.5–3.1 for premenopausal women) compared to their counterpart with low waist-to-hip ratio (<0.76) and high total physical activity (>20.5 MET-h/day). We did not find a statistically significant multiplicative interaction between body size, caloric intake and total physical activity on breast cancer risk.