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Pregnancy, parity, and circulating steroid hormone levels are associated with risk of breast cancer, but little is known about hormone concentrations during pregnancy and subsequent breast cancer risk. We evaluated early pregnancy (<140 days gestation) serum estradiol, estrone, progesterone, and testosterone and breast cancer risk in a nested case-control study in the Finnish Maternity Cohort. The cohort includes 98% of pregnancies registered in Finland since 1983. Individuals with samples collected in the first pregnancy leading to a live birth were eligible. Breast cancer cases (n = 1,199) were identified through linkage with the Finnish Cancer Registry; 2,281 matched controls were selected using incidence density sampling. ORs were calculated using conditional logistic regression. Hormone concentrations were not associated with breast cancer overall. Estradiol was positively associated with risk of breast cancer diagnosed age <40 [4th vs. 1st quartile OR 1.60 (1.07-2.39); Ptrend = 0.01], and inversely associated with breast cancer diagnosed at age ≥40 [4th vs. 1st quartile OR 0.71 (0.51-1.00); Ptrend = 0.02]. Elevated concentrations of the steroid hormones were associated with increased risk of estrogen receptor (ER)- and progesterone receptor (PR)-negative tumors in women age <40 at diagnosis. We observed no association between steroid hormones and ER(+)/PR(+) disease. These data suggest a positive association between high concentrations of early pregnancy steroid hormones and risk of ER(-)/PR(-) breast cancer in women diagnosed age <40, and an inverse association for overall breast cancer diagnosed age ≥40. Further research on pregnancy hormones and risk of steroid receptor-negative cancers is needed to further characterize this association.