Although it is largely assumed that shark predation and predation risk are unimportant to large cetaceans, whales can make up large portions of the diets of some shark species. We investigated interactions between sharks and cetaceans in the Abrolhos Bank (16°40′ to 19°40′S), off the eastern coast of Brazil, including scavenging and predation attempts on living humpback whales (Megaptera novaeangliae). In order to determine the frequency of shark bites on cetaceans, both living and postmortem, we used carcasses discovered along the coast of Abrolhos Bank between 2001 and 2010 and photographs of living cetaceans during systematic and opportunistic visual surveys from 2004 to 2009. We analysed a total of 221 cetacean carcasses, of which 150 (67.8%) were humpback whales. Large sharks had fed on 22.3% (35 of 150) of humpback whales carcasses, and 20.8% (10 of 48) of carcasses of other species. Only three living humpback whales (<1%) had bite scars from large sharks, suggesting that they at least occasionally target living humpbacks. Cookiecutter shark bite marks also were observed on both dead and living cetaceans, with numerous living humpbacks showing multiple bites. The abundance of humpback whale carcasses available over the Abrolhos Bank, mainly during the humpback breeding season, may be an important component of shark diets seasonally. Further work is needed to better understand the frequency of shark attacks on mysticetes, potential costs of sublethal injuries, and importance of whales to shark diets.