Background: Higher dairy consumption has been associated with lower type 2 diabetes (T2D) risk, whereas dairy product subtypes appear to differ in their T2D risk association. We investigated whether replacing one type of milk or yogurt product with another is associated with T2D incidence. Methods: Participants of the European Prospective Investigation into Cancer and Nutrition-Netherlands (EPIC-NL) cohort (n = 35 982) were included in the present study. Information on milk and yogurt consumption at baseline was obtained by a validated food frequency questionnaire. T2D cases were identified by self-report or linkage to the hospital discharge registry, and validated by consulting the general practitioner. Multivariable Cox proportional hazard models were used to estimate associations. Results: During a mean of 15 years of follow-up, 1467 indecent T2D cases were validated. Median total milk and yogurt intake was 1.5 servings (25th percentile to 75th percentile: 0.8–2.4). After adjustment for demographic and cardiovascular risk factors, replacement of one serving (200 g) of whole-fat milk [hazard ratio (HR) = 0.93, 95% confidence interval (CI) = 0.60–1.44], buttermilk (HR = 0.88, 95% CI = 0.58-1.34), skimmed milk (HR = 0.87, 95% CI = 0.57–1.32) or skimmed fermented milk (HR = 0.99, 95% CI = 0.63–1.54) with whole-fat yogurt was not associated with T2D risk. Substitutions among other milk and yogurt products were also not associated with T2D risk. Sensitivity analysis investigating T2D risk halfway follow-up suggested a lower risk for substitutions with whole-fat yogurt. Conclusions: No evidence was found for the association between substitutions among milk and yogurt products and the risk of incident T2D, although we cannot exclude possible attenuation of results as a result of dietary changes over time. This analysis should be repeated in a population with a wider consumption range of whole-fat yogurt.