The objective of the present study was to define and contrast an explanatory model relating the motivational climate, body mass index, and adherence to a Mediterranean diet with the self-concept of school children. A further objective was to analyze the existing relationships between the variables included in the developed model according to sex, using a multi-group structural equation analysis. In the study, a total of 734 school children, of both sexes, reported their perceived motivational climate towards sport, body mass index, adherence to a Mediterranean diet, and self-concept. These children were aged between 10 and 12 years old and attended public school in the province of Granada (Spain). The multi-group structural equation model developed demonstrated an excellent fit to the empirical data (χ2 = 228.179; DF = 40; p < 0.001; CFI = 0.965; NFI = 0.958; IFI = 0.968; RMSEA = 0.048). The findings identified a direct negative relationship between the ego climate and the task climate. Furthermore, an inverse relationship was found between the task climate and body mass index, and a direct relationship was found between the ego climate and body mass index. Meanwhile, Mediterranean diet adherence was directly related to the task climate and negatively related to the ego climate. The main conclusions of the present study highlight the positive effects of a task-oriented motivational climate and adherence to a Mediterranean diet, with regards to body mass index. Furthermore, a task-oriented motivational climate and a lower body mass index are related to a more positive self-concept.