The Mediterranean diet (MD) has been associated with an improvement in health and an increase in longevity. Certain components of a MD can play a role in the prevention of osteoporosis and/or hip fracture. We investigated the association between the degree of adherence to a MD and bone mineral density (BMD) measured in several bone areas in a population of Spanish premenopausal women. We analyzed 442 premenopausal women aged 42.73 ± 6.67 years. Bone measurements were obtained using quantitative bone ultrasound (QUS) for the phalanx, dual energy X-ray absorptiometry (DXA) for the lumbar spine, Ward’s triangle, trochanter, and hip, and peripheral quantitative computed tomography (pQCT) for the non-dominant distal forearm. MD adherence was evaluated with MedDietScore. Amplitude-dependent speed of sound (Ad-SOS), BMD, and volumetric bone mineral density (vBMD) (total, trabecular, and cortical bone density) were positively associated with higher adherence to the MD (p < 0.05). Adherence to the MD was significantly associated with QUS, BMD, and vBMD in multiple regression analysis; QUS: Ad-SOS (m/s) β = 0.099 (p = 0.030); BMD (g/cm2): femur neck β = 0.114 (p = 0.010) and Ward’s triangle β = 0.125 (p = 0.006); vBMD (mg/cm3): total density β = 0.119 (p = 0.036), trabecular density β = 0.120 (p = 0.035), and cortical density β = 0.122 (p = 0.032). We conclude that the adherence to the MD was positively associated with better bone mass in Spanish premenopausal women.