Breast cancer is the most frequent malignant neoplasia and a leading cause of mortality in women worldwide. The Mediterranean diet has been proposed as a healthy dietary pattern with protective effects in several chronic diseases, including breast cancer. This diet is characterized by the consumption of abundant plant foods and olive oil as the principal source of fat, which is considered one of the main components with potential antioxidant, anti-inflammatory and anticancer effects. Extra-virgin olive oil (EVOO) has several bioactive compounds, mainly including monounsaturated fatty acids, triterpenes and polyphenols, such as phenolic alcohols (e.g., hydroxytyrosol), secoiridoids (e.g., oleuropein and oleocanthal), lignans (e.g., pinoresinol) or flavonoids (e.g., luteolin). While epidemiological evidence is still limited, experimental in vivo and in vitro data have shown a protective effect of this oil and its compounds on mammary carcinogenesis. Such effects account through complex and multiple mechanisms, including changes in epigenetics, transcriptome and protein expression that modulate several signaling pathways. Molecular targets of EVOO compounds have a role in the acquisition of cancer hallmarks. Although further research is needed to elucidate their beneficial effects on human prevention and progression of the disease, evidence points to EVOO in the context of the Mediterranean diet as a heathy choice, while EVOO components may be promising adjuvants in anticancer strategies.