Many early studies presented beneficial effects of polyunsaturated fatty acids (PUFA) on cardiovascular risk factors and disease. However, results from recent meta-analyses indicate that this effect would be very low or nil. One of the factors that may contribute to the inconsistency of the results is that, in most studies, genetic factors have not been taken into consideration. It is known that fatty acid desaturase (FADS) gene cluster in chromosome 11 is a very important determinant of plasma PUFA, and that the prevalence of the single nucleotide polymorphisms (SNPs) varies greatly between populations and may constitute a bias in meta-analyses. Previous genome-wide association studies (GWAS) have been carried out in other populations and none of them have investigated sex and Mediterranean dietary pattern interactions at the genome-wide level. Our aims were to undertake a GWAS to discover the genes most associated with serum PUFA concentrations (omega-3, omega-6, and some fatty acids) in a scarcely studied Mediterranean population with metabolic syndrome, and to explore sex and adherence to Mediterranean diet (MedDiet) interactions at the genome-wide level. Serum PUFA were determined by NMR spectroscopy. We found strong robust associations between various SNPs in the FADS cluster and omega-3 concentrations (top-ranked in the adjusted model: FADS1-rs174547, p = 3.34 × 10−14; FADS1-rs174550, p = 5.35 × 10−14; FADS2-rs1535, p = 5.85 × 10−14; FADS1-rs174546, p = 6.72 × 10−14; FADS2-rs174546, p = 9.75 × 10−14; FADS2-rs174576, p = 1.17 × 10−13; FADS2-rs174577, p = 1.12 × 10−12, among others). We also detected a genome-wide significant association with other genes in chromosome 11: MYRF (myelin regulatory factor)-rs174535, p = 1.49 × 10−12; TMEM258 (transmembrane protein 258)-rs102275, p = 2.43 × 10−12; FEN1 (flap structure-specific endonuclease 1)-rs174538, p = 1.96 × 10−11). Similar genome-wide statistically significant results were found for docosahexaenoic fatty acid (DHA). However, no such associations were detected for omega-6 PUFAs or linoleic acid (LA). For total PUFA, we observed a consistent gene*sex interaction with the DNTTIP2 (deoxynucleotidyl transferase terminal interacting protein 2)-rs3747965 p = 1.36 × 10−8. For adherence to MedDiet, we obtained a relevant interaction with the ME1 (malic enzyme 1) gene (a gene strongly regulated by fat) in determining serum omega-3. The top-ranked SNP for this interaction was ME1-rs3798890 (p = 2.15 × 10−7). In the regional-wide association study, specifically focused on the FADS1/FASD2/FADS3 and ELOVL (fatty acid elongase) 2/ELOVL 5 regions, we detected several statistically significant associations at p < 0.05. In conclusion, our results confirm a robust role of the FADS cluster on serum PUFA in this population, but the associations vary depending on the PUFA. Moreover, the detection of some sex and diet interactions underlines the need for these associations/interactions to be studied in all specific populations so as to better understand the complex metabolism of PUFA.