DNA copy number aberrations (CNA) and subsequent altered gene expression profiles (mRNA levels) are characteristic features of cancerous cells. Integrative genomic analysis aims to identify recurrent CNA that may have a potential role in cancer development, assuming that gene amplification is accompanied by overexpression, while deletions give rise to downregulation of gene expression. We propose a segmented regression‐based approach to identify CNA‐driven alteration of gene expression profiles. Segmented regression allows to fit piecewise linear models in different domains of CNA joined by a change‐point, where the mRNA–CNA relationship undergoes structural changes. Here, we illustrate the implementation and applicability of the proposed model using 1,161 chromosome fragments detected as DNA CNA in primary tumors from 97 breast cancer patients. We identified significant CNA‐driven changes in gene expression levels for 341 chromosome fragments, of which 72 showed a nonlinear relationship to CNA. For 59 of 72 chromosome fragments (82%), we observed an initial increase in mRNA levels due to changes in CNA. After the change‐point was passed, the mRNA levels reached a plateau, and a further increase in DNA copy numbers did not induce further elevation in mRNA levels. In contrast, for 13 chromosome fragments, the change‐point marked the point where mRNA production accelerated. We conclude that segmented regression modeling may provide valuable insights into the impact CNA have on gene expression in cancer cells. © 2011 Wiley Periodicals, Inc.