OBJECTIVE: To identify individual and contextual factors associated with the practice of exclusive breast-feeding (EBF). METHODOLOGY: We analysed 34 435 children under 6 months of age living in 111 municipalities in the state of São Paulo, south-eastern Brazil, who participated in a survey investigating feeding practices during the first year of life, carried out during the 1999 national vaccination campaign. The questionnaire employed included questions on the consumption, in the last 24 h, of breast milk, water, tea, other types of milk and other foods, in addition to mother and child characteristics. Information on the pro-breast-feeding measures implemented in the municipalities was also collected. The effects of individual and contextual characteristics on EBF were analysed using multilevel models. RESULTS: The final model showed a greater chance of EBF in women with tertiary education (odds ratio (OR) = 1.91; 95% confidence interval (CI) 1.75-2.06); women aged between 25 and 29 years (OR = 1.52; 95% CI 1.41-1.63); multiparae (OR = 1.42; 95% CI 1.33-1.49); female babies (OR = 1.12; 95% CI 1.05-1.18); birth weight > or = 3000 g (OR = 1.73; 95% CI 1.49-1.97); child follow-up in the private health-care network (OR = 1.10; 95% CI 1.02-1.18); and municipalities with four or five pro-breast-feeding measures (OR = 2.4; 95% CI 2.19-2.88). An analysis of the interactions between individual and contextual variables showed that the presence of at least four pro-breast-feeding measures in the municipality attenuated the risk of early termination of EBF associated with low maternal schooling and low birth weight, and transformed child follow-up in the public network into a protective factor against the early termination of breast-feeding. CONCLUSIONS: The presence of measures aimed at protecting, promoting and supporting breast-feeding in the municipality had a positive influence on EBF and attenuated the impact of risk factors for the termination of breast-feeding.