Background Breast cancer risk factors have been examined extensively in Western setting and more developed Asian cities/countries. However, there are limited data on developing Asian countries. The purpose of this study was to examine breast cancer risk factors and the change of selected risk factors across birth cohorts in Malaysian women. Methods An unmatched hospital based case-control study was conducted from October 2002 to December 2016 in Selangor, Malaysia. A total of 3,683 cases and 3,980 controls were included in this study. Unconditional logistic regressions, adjusted for potential confounding factors, were conducted. The breast cancer risk factors were compared across four birth cohorts by ethnicity. Results Ever breastfed, longer breastfeeding duration, a higher soymilk and soy product intake, and a higher level of physical activity were associated with lower risk of breast cancer. Chinese had the lowest breastfeeding rate, shortest breastfeeding duration, lowest parity and highest age of first full term pregnancy. Conclusions Our study shows that breastfeeding, soy intake and physical activity are modifiable risk factors for breast cancer. With the increasing incidence of breast cancer there is an urgent need to educate the women about lifestyle intervention they can take to reduce their breast cancer risk.