Nowadays, as the pandemic has reshaped snacking behaviors, and consumers have become more health-conscious, the need for the incorporation of “healthy snacking” in our diets has emerged. Although there is no agreed-upon definition of “healthy snacking”, dietary guidelines refer to snack foods with high nutritional and biological value. The aim of this study was to chemically characterize and determine the nutritional value of an innovative UVB-irradiated and baked snack from Pleurotus eryngii mushrooms. P. eryngii is an edible mushroom native to the Mediterranean basin. We applied proximate composition, amino acids, fatty acids, vitamins, and macro and trace elements analyses. Also, we computed indices to assess the nutritional quality of food, and we evaluated the sensory characteristics of the mushroom snack. We found high nutritional, consumer, and biological values for the snack. More specifically it was low in calories, high in fibre and protein, low in lipids, without added sugars, and high in ergosterol and beta-glucans. Additionally, it had some vitamins and trace elements in significant quantities. Its NRF9.3 score was considerably high compared to most popular snacks, and the snack exhibited high hypocholesterolemic and low atherogenic and thrombogenic potentials. In conclusion, as a result of UVB-irradiation and baking of P. eryngii mushrooms, the snack’s nutritional and biological value were not affected; instead, it provided a “healthy snacking” option.