Epidemiological studies have examined breast cancer risk in relation to sex hormone concentrations measured by different methods: “extraction” immunoassays (with prior purification by organic solvent extraction, with or without column chromatography), “direct” immunoassays (no prior extraction or column chromatography), and more recently with mass spectrometry-based assays. We describe the associations of estradiol, estrone and testosterone with both body mass index and breast cancer risk in postmenopausal women according to assay method, using data from a collaborative pooled analysis of 18 prospective studies. In general, hormone concentrations were highest in studies that used direct assays and lowest in studies that used mass spectrometry-based assays. Estradiol and estrone were strongly positively associated with body mass index, regardless of the assay method; testosterone was positively associated with body mass index for direct assays, but less clearly for extraction assays, and there were few data for mass spectrometry assays. The correlations of estradiol with body mass index, estrone and testosterone were lower for direct assays than for extraction and mass spectrometry assays, suggesting that the estimates from the direct assays were less precise. For breast cancer risk, all three hormones were strongly positively associated with risk regardless of assay method (except for testosterone by mass spectrometry where there were few data), with no statistically significant differences in the trends, but differences may emerge as new data accumulate. Future epidemiological and clinical research studies should continue to use the most accurate assays that are feasible within the design characteristics of each study.