Purpose: The incidence of small intestinal cancer (SIC) is increasing, however, its aetiology remains unclear due to a lack of data from large-scale prospective cohorts. We examined modifiable risk factors in relation to SIC overall and by histological subtype. Methods: We analysed 450,107 participants enrolled in the European Prospective Investigation into Cancer and Nutrition cohort. Cox proportional hazards models were used to estimate univariable and multivariable hazard ratios (HRs) and 95% confidence intervals (CIs). Results: During an average of 14.1 years of follow-up, 160 incident SICs (62 carcinoids, 51 adenocarcinomas) were identified. Whilst univariable models revealed a positive association for current versus never smokers and SIC (HR, 95% CI: 1.77, 1.21–2.60), this association attenuated in multivariable models. In energy-adjusted models, there was an inverse association across vegetable intake tertiles for SIC overall (HRT3vsT1, 95% CI: 0.48, 0.32–0.71, p-trend: < 0.001) and for carcinoids (HRT3vsT1, 95% CI: 0.44, 0.24–0.82, p-trend: 0.01); however, these attenuated in multivariable models. Total fat was also inversely associated with total SIC and both subtypes but only in the second tertile (SIC univariable HRT2vsT1, 95% CI: 0.57, 0.38–0.84; SIC multivariable HRT2vsT1, 95% CI: 0.55, 0.37–0.81). Physical activity, intake of alcohol, red or processed meat, dairy products, or fibre were not associated with SIC. Conclusion: These exploratory analyses found limited evidence for a role of modifiable risk factors in SIC aetiology. However, sample size was limited, particularly for histologic subtypes; therefore, larger studies are needed to delineate these associations and robustly identify risk factors for SIC.