Purpose: The European Society on Breast Imaging has recommended supplemental magnetic resonance imaging (MRI) every two to four years for women with mammographically dense breasts. This may not be feasible in many screening programs. Also, the European Commission Initiative on Breast Cancer suggests not implementing screening with MRI. By analyzing interval cancers and time from screening to diagnosis by density, we present alternative screening strategies for women with dense breasts. Methods: Our BreastScreen Norway cohort included 508 536 screening examinations, including 3125 screen-detected and 945 interval breast cancers. Time from screening to interval cancer was stratified by density measured by an automated software and classified into Volpara Density Grades (VDGs) 1–4. Examinations with volumetric density ≤3.4% were categorized as VDG1, 3.5%–7.4% as VDG2, 7.5%–15.4% as VDG3, and ≥15.5% as VDG4. Interval cancer rates were also determined by continuous density measures. Results: Median time from screening to interval cancer was 496 (IQR: 391–587) days for VDG1, 500 (IQR: 350–616) for VDG2, 482 (IQR: 309–595) for VDG3 and 427 (IQR: 266–577) for VDG4. A total of 35.9% of the interval cancers among VDG4 were detected within the first year of the biennial screening interval. For VDG2, 26.3% were detected within the first year. The highest annual interval cancer rate (2.7 per 1000 examinations) was observed for VDG4 in the second year of the biennial interval. Conclusions: Annual screening of women with extremely dense breasts may reduce the interval cancer rate and increase program-wide sensitivity, especially in settings where supplemental MRI screening is not feasible.