Menopausal hormone therapy (MHT) was widely used to treat menopause-related symptoms in menopausal women. However, MHT therapies were controversial with the increased risk of breast cancer because of different estrogen and progestogen combinations, and the molecular basis behind this phenomenon is currently not understood. To address this issue, we identified differentially expressed genes (DEGs) between the estrogen plus progestogens treatment (EPT) and estrogen treatment (ET) using the Gene Expression Omnibus (GEO) and The Cancer Genome Atlas (TCGA) data. As a result, a total of 96 upregulated DEGs were first identified. Seven DEGs related to the cell cycle (CCNE2, CDCA5, RAD51, TCF19, KNTC1, MCM10, and NEIL3) were validated by RT-qPCR. Specifically, these seven DEGs were increased in EPT compared to ET (p < 0.05) and had higher expression levels in breast cancer than adjacent normal tissues (p < 0.05). Next, we found that estrogen receptor (ER)-positive breast cancer patients with a higher CNNE2 expression have a shorter overall survival time (p < 0.05), while this effect was not observed in the other six DEGs (p > 0.05). Interestingly, the molecular docking results showed that CCNE2 might bind to 17β-estradiol (−6.791 kcal/mol), progesterone (−6.847 kcal/mol), and medroxyprogesterone acetate (−6.314 kcal/mol) with a relatively strong binding affinity, respectively. Importantly, CNNE2 protein level could be upregulated with EPT and attenuated by estrogen receptor antagonist, acolbifene and had interactions with cancer driver genes (AKT1 and KRAS) and high mutation frequency gene (TP53 and PTEN) in breast cancer patients. In conclusion, the current study showed that CCNE2, CDCA5, RAD51, TCF19, KNTC1, MCM10, and NEIL3 might contribute to EPT-related tumorigenesis in breast cancer, with CCNE2 might be a sensitive risk indicator of breast cancer risk in women using MHT.