(1) Background: Breast cancer is the most prevalent cancer found in women in Mali. The aim of the current study was to determine the association between metabolites circulating in the blood, 25(OH)D and 1,25(OH)2D, and vitamin D levels with the risk of breast cancer in Malian women. (2) Methods: We conducted a prospective case–control study from August 2021 to March 2022. Control subjects were matched to cases according to age (within 5 years). The patients’ clinical stage was determined by the oncologist according to the tumour–nodes–metastasis (TNM) classification system. (3) Results: We observed no differences in the mean 25(OH)D (p = 0.221) and 1,25(OH)2D (p = 0.285) between cases and controls. However, our findings indicate a more pronounced inverse association in the first level of plasma 25(OH)D, while the risk function decreases at higher levels. This observation takes strength with 1,25(OH)2D by a significant association between the first quartile and breast cancer as a risk factor (p = 0.03; OR = 71.84; CI: 1.36–3785.34). (4) Conclusions: These outcomes showed a possible association between 25(OH)D and 1,25(OH)2D in decreasing the risk of breast cancer.