Background: There is scant information about whether, after a high-risk pregnancy, breast milk provides enough vitamins for assuring satisfactory bodily reserves in newborns. Objective: To comparatively evaluate, in women with high-risk and normal pregnancy, the concentration of retinol and α-tocopherol in breast milk. Methods: This cross-sectional, analytical study was evaluated with reverse-phase high-performance liquid chromatography (HPLC). Informed consent was signed by 95 mothers with a high-risk pregnancy and 32 mothers with a normal pregnancy. From the mothers with a high-risk pregnancy were obtained: 23 samples of colostrum, 24 of transitional milk, and 48 of mature milk. From the normal pregnancy group, 32 mature milk samples were collected. Pregestational Body Mass Index (BMI) and the gestational weight gain were noted. Models of logistic regression were constructed to identify the variables related to a low concentration of either retinol or α-tocopherol in breast milk. Results: The concentration of retinol and α-tocopherol in mature milk was 60 (interquartile range (IQR), 41–90) and 276 (103–450) μg/dL, respectively, for the high-risk pregnancy group, and 76 (65–91) and 673 (454–866) µg/dL, respectively, for the normal pregnancy group (p = 0.001). The concentration of retinol and α-tocopherol was similar in the subgroups of mothers with different disorders during gestation. A clear correlation was found between a greater pregestational weight and a lower concentration of retinol (Rho = –0.280, p = 0.006), and between α-tocopherol and retinol in all cases (Rho = 0.463, p = 0.001). Among women having a high-risk pregnancy, those delivering prematurely rather than carrying their pregnancy to term had a reduced concentration of retinol (54 (37–78) vs. 70 (49–106) µg/dL; p = 0.002) and a tendency to a lower concentration of α-tocopherol in breast milk (185 (75–410) vs. 339 (160–500) µg/dL; p = 0.053). Compared to mothers with a normal pregnancy, those with a high-risk pregnancy (whether carried to term or ending in preterm delivery) exhibited a reduced concentration of retinol in mature milk (p = 0.003), as well as a tendency to a lower concentration of α-tocopherol (p = 0.054). Conclusion: Even though the women in the high-risk pregnancy group showed a deficiency of vitamins A and E in their breast milk, the unique biological benefits of this milk justify the promotion of breast feeding as the optimal method of nourishing neonates and infants. In these cases, it should be recommended that the woman increase her consumption of certain nutrients during pregnancy. Additionally, after childbirth mothers should consider the use of supplements to produce milk of adequate quality and thus meet the needs of the baby and prevent any deficiency in micronutrients.