The European Prospective Investigation into Cancer and Nutrition (EPIC) is a multicentre prospective study conducted in 23 centres in 10 European countries. Here we review the findings from EPIC on the relationship between diet-related exposures and incidence or mortality from the four most frequent cancers in the European population: colorectal, breast, lung, and prostate cancer. We conducted a systematic review following PRISMA guidelines and identified 110 high-quality studies based on the EPIC cohort. Fruit and vegetable consumption had a protective effect against colorectal, breast, and lung cancer, whereas only fruit had a protective effect against prostate cancer. A higher consumption of fish and lower consumption of red and processed meat were related with a lower risk of colorectal cancer; and higher consumption of fatty fish with lower risk of breast cancer. Calcium and yogurt intake were found to protect against colorectal and prostate cancer. Alcohol consumption increased the risk for colorectal and breast cancer. Finally, adherence to the Mediterranean diet emerged as a protective factor for colorectal and breast cancer. The EPIC study results are in agreement with the latest evidence from leading authorities on cancer prevention and help to inform public prevention policies and strategies.