Breast milk (BM) cytokines support and modulate infant immunity, being particularly relevant in premature neonates with adverse outcomes (NAO). This study aimed to examine, in a cohort of Spanish breastfeeding women, changes in BM cytokines in the first month of lactation, their modulation by neonatal factors (sex, gestational age, and NAO), maternal factors (obstetric complications, C-section, and diet), and their relationship with oxidative status. Sixty-three mother-neonate dyads were studied at days 7 and 28 of lactation. Dietary habits were assessed by a 72-h dietary recall, and the maternal dietary inflammatory index (mDII) was calculated. BM cytokines (IL-10, IL-13, IL-8, MCP-1, and TNFα) were assessed by ultra-sensitive chemiluminescence. Total antioxidant capacity was assessed by the ABTS method and lipid peroxidation by the MDA+HNE kit. From days 7 to 28 of lactation, the levels of IL-10 and TNFα remained stable, while IL-13 increased (ß = 0.85 ± 0.12, p < 0.001) and IL-8 and MCP-1 levels decreased (ß = -0.64 ± 0.27, p = 0.019; ß = -0.98 ± 0.22, p < 0.001; respectively). Antioxidant capacity and lipid peroxidation also decrease during lactation. Neonatal sex did not influence any of the cytokines, but BM from mothers with male infants had a higher antioxidant capacity. Gestational age was associated with male sex and NAO, being inversely correlated with the BM proinflammatory cytokines IL-8, MCP-1, and TNFα. From days 7 to 28 of lactation, BM from women with NAO infants increased MCP-1 levels and had a larger drop in antioxidant capacity, with the opposite trend in lipid peroxidation. MCP-1 was also significantly higher in women undergoing C-section; this cytokine declined in women who decreased mDII during lactation, while IL-10 increased. Linear mixed regression models evidenced that the most important factors modulating BM cytokines were lactation period and gestational age. In conclusion, during the first month of lactation, BM cytokines shift towards an anti-inflammatory profile, influenced mainly by prematurity. BM MCP-1 is associated with maternal and neonatal inflammatory processes.