Genome-wide association studies have identified over 70 single-nucleotide polymorphisms (SNPs) associated with breast cancer. A subset of these SNPs are associated with quantitative expression of nearby genes, but the functional effects of the majority remain unknown. We hypothesized that some risk SNPs may regulate alternative splicing. Using RNA-sequencing data from breast tumors and germline genotypes from The Cancer Genome Atlas, we tested the association between each risk SNP genotype and exon-, exon-exon junction- or transcript-specific expression of nearby genes. Six SNPs were associated with differential transcript expression of seven nearby genes at FDR < 0.05 (BABAM1, DCLRE1B/PHTF1, PEX14, RAD51L1, SRGAP2D and STXBP4). We next developed a Bayesian approach to evaluate, for each SNP, the overlap between the signal of association with breast cancer and the signal of association with alternative splicing. At one locus (SRGAP2D), this method eliminated the possibility that the breast cancer risk and the alternate splicing event were due to the same causal SNP. Lastly, at two loci, we identified the likely causal SNP for the alternative splicing event, and at one, functionally validated the effect of that SNP on alternative splicing using a minigene reporter assay. Our results suggest that the regulation of differential transcript isoform expression is the functional mechanism of some breast cancer risk SNPs and that we can use these associations to identify causal SNPs, target genes and the specific transcripts that may mediate breast cancer risk.