(1) Background: Methyl-group donors (MGDs), including folate, choline, betaine, and methionine, may influence breast cancer (BC) risk through their role in one-carbon metabolism; (2) Methods: We studied the relationship between dietary intakes of MGDs and BC risk, adopting data from the European Prospective Investigation into Cancer and Nutrition (EPIC) cohort; (3) Results: 318,686 pre- and postmenopausal women were followed between enrolment in 1992–2000 and December 2013–December 2015. Dietary MGD intakes were estimated at baseline through food-frequency questionnaires. Multivariable Cox proportional hazards regression models were used to quantify the association between dietary intake of MGDs, measured both as a calculated score based on their sum and individually, and BC risk. Subgroup analyses were performed by hormone receptor status, menopausal status, and level of alcohol intake. During a mean follow-up time of 14.1 years, 13,320 women with malignant BC were identified. No associations were found between dietary intakes of the MGD score or individual MGDs and BC risk. However, a potential U-shaped relationship was observed between dietary folate intake and overall BC risk, suggesting an inverse association for intakes up to 350 µg/day compared to a reference intake of 205 µg/day. No statistically significant differences in the associations were observed by hormone receptor status, menopausal status, or level of alcohol intake; (4) Conclusions: There was no strong evidence for an association between MGDs involved in one-carbon metabolism and BC risk. However, a potential U-shaped trend was suggested for dietary folate intake and BC risk. Further research is needed to clarify this association.