Leptin is a hormone crucial in the regulation of food intake and body-weight maintenance. However, the genes and gene variants that influence its plasma levels are still not well known. Results of studies investigating polymorphisms in candidate genes have been inconsistent, and, in addition, very few genome-wide association studies (GWAS) have been undertaken. Our aim was to investigate the genes and gene variants most associated with plasma leptin concentrations in a high-cardiovascular-risk Mediterranean population. We measured plasma leptin in 1011 men and women, and analyzed the genetic factors associated using three approaches: (1) Analyzing the single nucleotide polymorphisms (SNPs) reported in a GWAS meta-analysis in other populations (including an SNP in/near each of these LEP, SLC32A1, GCKR, CCNL, COBLL1, and FTO genes); (2) Investigating additional SNPs in/near those genes, also including the RLEP gene; and (3) Undertaking a GWAS to discover new genes. We did not find any statistically significant associations between the previously published SNPs and plasma leptin (Ln) in the whole population adjusting for sex and age. However, on undertaking an extensive screening of other gene variants in those genes to capture a more complete set of SNPs, we found more associations. Outstanding among the findings was the heterogeneity per sex. We detected several statistically significant interaction terms with sex for these SNPs in the candidate genes. The gene most associated with plasma leptin levels was the FTO gene in men (specifically the rs1075440 SNP) and the LEPR in women (specifically the rs12145690 SNP). In the GWAS on the whole population, we found several new associations at the p < 1 × 10−5 level, among them with the rs245908-CHN2 SNP (p = 1.6 × 10−6). We also detected a SNP*sex interaction at the GWAS significance level (p < 5 × 10−8), involving the SLIT3 gene, a gene regulated by estrogens. In conclusion, our study shows that the SNPs selected as relevant for plasma leptin levels in other populations, are not good markers for this Mediterranean population, so supporting those studies claiming a bias when generalizing GWAS results to different populations. These population-specific differences may include not only genetic characteristics, but also age, health status, and the influence of other environmental variables. In addition, we have detected several sex-specific effects. These results suggest that genomic analyses, involving leptin, should be estimated by sex and consider population-specificity for more precise estimations.