Scientific literature has suggested positive associations between the Mediterranean diet (MD) and the health-related quality of life (HRQoL) in young populations. However, to our knowledge, this relationship is unexplored during a situation of social isolation (i.e., lockdown). The objective of the current study is to examine the relationship between the MD and HRQoL during the COVID-19 lockdown among preschoolers, children, and adolescents from Brazil and Spain. This cross-sectional study includes a sample of 1099 three- to seventeen-year-old participants (47.6% girls) who were recruited via social networks. The HRQoL was assessed with the EQ-5D-Y. The Quality Index for Children and Teenagers (KIDMED) questionnaire was applied to evaluate the relationship between the MD and HRQoL. The highest prevalence of reported problems was found for worried, sad, or unhappy participants (39.8%). Furthermore, the lowest proportion of HRQoL problems was observed for “mobility” (2.5%). The proportion of high adherence to the MD was 44.3%. Participants with greater MD adherence reported higher HRQoL mean scores when compared with those who did not adhere to the MD (83.7 ± 0.6 vs. 85.6 ± 0.7, respectively; p < 0.05). Adherence to the MD and especially daily fruit intake were related to higher HRQoL during the COVID-19 lockdown among Brazilian and Spanish young people aged three to seventeen years.