Our aims were to investigate vitamin A and E status during lactation and the determinants of breast milk content for the appropriate nutrition of the infant in a study with nursing Brazilian women. We hypothesized that both inadequate intake and the lipoprotein distribution of vitamin A and E during lactation could have an impact on their breast milk levels from early- to mid-lactation. Nineteen adult lactating women participated in this longitudinal observational study, in which dietary records, blood and mature breast milk samples were collected for the analysis of vitamin A and E, and carotenoids in early- (2nd to 4th week) and mid-lactation (12th to 14th week). Nutrient intake was balanced by the Multiple Source Method (MSM), and the intake of vitamin A and E was inadequate in 74 and 100% of the women, respectively. However, these results were not reflected in low serum concentrations of retinol and only 37% of the volunteers were vitamin E deficient according to the blood biomarker. As lactation progressed, vitamin A and E status worsened, and this was clearly observed by the decrease in their content in breast milk. The reduced content of vitamin A and E in the breast milk was not related to their distribution in lipoproteins. Taken together, the contents of vitamin A and E in breast milk seemed to be more sensitive markers of maternal nutrition status than respective blood concentrations, and dietary assessment by the MSM in early lactation was sensitive to indicate later risks of deficiency and should support maternal dietary guidance to improve the infant’s nutrition.