Breast cancer has become the most common malignancy among women, posing a severe health risk to women worldwide and creating a heavy social burden. Based on current observational studies, the dietary factor may have a causal relationship with breast cancer. Therefore, exploring how dietary composition affects breast cancer incidence will provide nutrition strategies for clinicians and women. We performed a two-sample Mendelian randomization (MR) analysis to find the causal effect of four kinds of relative macronutrient intake (protein, carbohydrate, sugar, and fat) on the risk of breast cancer and its subtypes [Luminal A, Luminal B, Luminal B HER2-negative, HER2-positive, Triple-negative, Estrogen receptor (ER) positive, and ER-negative breast cancer]. The Mendelian randomization pleiotropy residual sum and outlier (MR-PRESSO) test, MR-Egger intercept test, Cochran’s Q statistic, funnel plot, and leave-one-out (Loo) analysis were all used in a sensitivity analysis to test the robustness of MR. Genetically, a higher relative protein intake was found as a protective factor for Luminal A and overall breast cancer, which was inconsistent with recent findings. A higher relative sugar intake could genetically promote the risk of Luminal B and HER2-positive breast cancer. Conclusions: A higher protein proportion in diet genetically reduces the risk of breast cancer, while higher relative sugar intake does the opposite.