OBJECTIVE: To evaluate the association between self-reported diabetes and the risk of breast cancer (BC) and its interaction with moderate-intensity physical activity in pre- and postmenopausal Mexican women. RESEARCH DESIGN AND METHODS: A population-based case-control study was conducted using 1,000 incident case subjects and 1,074 control subjects. Blood samples and information on health, diet, physical activity, and anthropometric measurements were obtained. RESULTS: The association between diabetes and BC risk decreased with increasing tertiles of moderate-intensity physical activity (odds ratio [OR] = 4.9 [95% CI 2.3-10.8]; 3.0 [1.3-6.9]; and 1.0 [0.1-9.2], respectively, for each tertile) (test for interaction = 0.04). Compared with the women in the lowest tertiles, increased risk was observed in those premenopausal women with the highest serum C-peptide, IGF-1, and IGF-1 binding protein 3 levels. CONCLUSIONS: Moderate-intensity physical activity can substantially ameliorate the increased BC risk in diabetic women.