Breastfeeding may reduce obesity risk, but this association could be confounded by breastfeeding families’ characteristics. We investigated if body composition differs at birth among infants who were either exclusively breast- or formula-fed. We hypothesized the two groups would differ in body composition, even at birth, prior to their post-natal feeding experience. Healthy primiparous carrying singleton pregnancy were recruited at 15 weeks’ gestation. PEA POD® measured body composition within 72 hours of delivery and infant feeding was prospectively captured. Out of the 1,152 infants recruited, 117 (10.2%) and 239 (20.7%) went on to be either exclusively breast- or formula-fed, respectively. Breastfed infants were heavier at birth, but their percentage fat mass (FM) was lower than that of exclusively formula-fed infants (covariate adjusted β = −1.91 percentage points of FM; 95% CI −2.82 to −1.01). Differences in intra-uterine exposures, irrespective of early diet, may partly explain an infant’s obesity risk.