High mammographic density is associated with breast cancer and with delayed detection. We have examined whether localized density, at the site of the subsequent cancer, is independently associated with being diagnosed with a large-sized or interval breast cancer. Within a prospective cohort of 63,130 women, we examined 891 women who were diagnosed with incident breast cancer. For 386 women, retrospective localized density assessment was possible. The main outcomes were interval cancer vs. screen-detected cancer and large (> 2 cm) vs. small cancer. In negative screening mammograms, overall and localized density were classified reflecting the BI-RADS standard. Density concordance probabilities were estimated through multinomial regression. The associations between localized density and the two outcomes were modeled through logistic regression, adjusted for overall density, age, body mass index, and other characteristics. The probabilities of concordant localized density were 0.35, 0.60, 0.38, and 0.32 for overall categories "A," "B," "C," and "D." Overall density was associated with large cancer, comparing density category D to A with OR 4.6 (95%CI 1.8-11.6) and with interval cancer OR 31.5 (95%CI 10.9-92) among all women. Localized density was associated with large cancer at diagnosis with OR 11.8 (95%CI 2.7-51.8) among all women and associated with first-year interval cancer with OR 6.4 (0.7 to 58.7) with a significant linear trend p = 0.027. Overall density often misrepresents localized density at the site where cancer subsequently arises. High localized density is associated with interval cancer and with large cancer. Our findings support the continued effort to develop and examine computer-based measures of localized density for use in personalized breast cancer screening.