Background The ability of deep learning (DL) models to classify women as at risk for either screening mammography-detected or interval cancer (not detected at mammography) has not yet been explored in the literature. Purpose To examine the ability of DL models to estimate the risk of interval and screening-detected breast cancers with and without clinical risk factors. Materials and Methods This study was performed on 25 096 digital screening mammograms obtained from January 2006 to December 2013. The mammograms were obtained in 6369 women without breast cancer, 1609 of whom developed screening-detected breast cancer and 351 of whom developed interval invasive breast cancer. A DL model was trained on the negative mammograms to classify women into those who did not develop cancer and those who developed screening-detected cancer or interval invasive cancer. Model effectiveness was evaluated as a matched concordance statistic (C statistic) in a held-out 26% (1669 of 6369) test set of the mammograms. Results The C statistics and odds ratios for comparing patients with screening-detected cancer versus matched controls were 0.66 (95% CI: 0.63, 0.69) and 1.25 (95% CI: 1.17, 1.33), respectively, for the DL model, 0.62 (95% CI: 0.59, 0.65) and 2.14 (95% CI: 1.32, 3.45) for the clinical risk factors with the Breast Imaging Reporting and Data System (BI-RADS) density model, and 0.66 (95% CI: 0.63, 0.69) and 1.21 (95% CI: 1.13, 1.30) for the combined DL and clinical risk factors model. For comparing patients with interval cancer versus controls, the C statistics and odds ratios were 0.64 (95% CI: 0.58, 0.71) and 1.26 (95% CI: 1.10, 1.45), respectively, for the DL model, 0.71 (95% CI: 0.65, 0.77) and 7.25 (95% CI: 2.94, 17.9) for the risk factors with BI-RADS density (b rated vs non-b rated) model, and 0.72 (95% CI: 0.66, 0.78) and 1.10 (95% CI: 0.94, 1.29) for the combined DL and clinical risk factors model. The P values between the DL, BI-RADS, and combined model's ability to detect screen and interval cancer were .99, .002, and .03, respectively. Conclusion The deep learning model outperformed in determining screening-detected cancer risk but underperformed for interval cancer risk when compared with clinical risk factors including breast density. © RSNA, 2021 Online supplemental material is available for this article. See also the editorial by Bae and Kim in this issue.