Background: The Mediterranean diet (MD) has been related with a decreased probability of overweight/obesity as well as central obesity at all stages of the human life, decreasing the risk of diverse disease states and improving quality of life. Over the last few years, the prevalence of childhood overweight/obesity and especially abdominal obesity has highly increased worldwide, being associated with a higher likelihood of overweight/obesity as well as central obesity at the next stages of the life during adulthood. The purpose of the present study was to explore the relationship of MD compliance with sociodemographic, anthropometry and lifestyle features in pre-school children aged 2–5 years old. Methods: This is a cross-sectional study, which includes 5188 pre-school children from diverse regions of Greece. Relevant questionnaires were applied to evaluate the sociodemographic features of the enrolled children. Anthropometric parameters were measured by relevant techniques. Qualified questionnaires were utilized for assessing several lifestyle factors such as physical activity, quality of life, breastfeeding practices, MD adherence, as well as the prevalence of childhood asthma and diabetes mellitus type I. Results: Of the enrolled children, 41.7% showed low MD compliance and 36.4% of them indicated moderated compliance, while only 21.9% of them showed a high MD adherence. Overweight/obesity was noted in 24.2% of the assigned children, while abdominal obesity was noticed in 18.2% of them. Higher MD compliance was related with an elevated prevalence of sex (boys, p = 0.0005), Greek nationality (p = 0.0088), rural type of residence (p = 0.0099), childhood overweight/obesity (p < 0.0001) and abdominal obesity (p < 0.0001), lower childbirth weight (p < 0.0001), increased physical activity (p = 0.0041), improved quality of life (p = 0.0008), exclusive breastfeeding (p < 0.0001), childhood asthma (p = 0.0001) and diabetes mellitus type 1 (p = 0.0002). Conclusions: A higher MD adherence is associated with specific sociodemographic, better anthropometric, and beneficial lifestyle factors in pre-school children. However, MD compliance remains low or moderate in the vast majority of children aged 2–5 years old. Thus, future public strategies and policies should be performed to inform parents of the potential beneficial effects of MD against obesity and related chronic diseases at the next stage of their children’s lives.