Background: Considering that obesity is characterized today as a public health challenge and an epidemic in many countries in the world and that one of the main predictors for obesity is socio-economic status (SES), the aim of this paper was to assess the relationship between the SES of parents/guardians and female adolescent obesity in Montenegro. Methods: A stratified random probability sample method was used, and the number of participants in this study was 596, aged 15.8 ± 0.58, from all three regions in Montenegro. As SES was a factor in this research, specific SES parameters such as household wealth and parental educational level were collected for parent/guardian of each child. The following anthropometric indices were utilized to evaluate nutritional status: body mass index (BMI) and waist to height ratio (WHtR). Results: Regarding nutritional status, it can be said that no statistically significant difference between female adolescents according to the regions of Montenegro was found. Of all the adolescents in the study, 15.4% of them were above the normal nutrition level as measured by BMI, while 12.2% were classified as obese by the WHtR. Furthermore, the study found a significant negative relationship between a mother’s level of education and obesity in female adolescents, with odds ratios of 0.31 (p = 0.035) and 0.19 (p = 0.009) for secondary and high level education, respectively. This suggests that daughters of mothers with higher levels of education are less likely to be obese. Conclusions: In regard to the nutritional status of the respondents in this study, their values fell within the normal range compared to the European average. However, the results regarding the relationship between certain SES characteristics and obesity suggest a similarity to developed countries.