Although increased mammographic density (MD) has been well established as a marker for increased breast cancer (BC) risk, its pathobiology is far from understood. Altered proteoglycan (PG) composition may underpin the physical properties of MD, and may contribute to the associated increase in BC risk. Numerous studies have investigated PGs, which are a major stromal matrix component, in relation to MD and BC and reported results that are sometimes discordant. Our review summarises these results and highlights discrepancies between PG associations with BC and MD, thus serving as a guide for identifying PGs that warrant further research towards developing chemo-preventive or therapeutic agents targeting preinvasive or invasive breast lesions, respectively.