Obesity, low levels of physical fitness, and unhealthy eating patterns are responsible for part of the health problems of adolescents today. The current study aimed at examining the association between the adherence to the Mediterranean diet (MD), through each answer to the items of the Adherence to the MD Questionnaire (KIDMED), and physical fitness with body composition parameters (body mass index (BMI), percentage of body fat, and waist circumference) in 1717 European adolescents (N = 900 boys, N = 817 girls). Data of body composition, physical fitness results, and the answers to KIDMED were analyzed by the Student’s t-test. Additionally, the effect size (ES) was calculated and a Chi-square test analyzed the proportion of participants with and without over waist circumference, overfat, and overweight in each KIDMED question. The relative risk of suffering over waist circumference, overfat and overweight in relation to the responses was calculated by Odd-Ratio. Adherence to the MD did not influence the condition of over waist circumference, overfat and overweight, although certain dietary habits were identified as risk factors for their development. Over waist circumference, overfat, and overweight boys and girls presented higher levels of body mass, waist circumference, body fat percentage, and BMI (p < 0.001; ES = 1.73–3.38), as well as lower levels of all the parameters of the physical fitness analyzed (p < 0.001; ES = 0.45–1.08), except the handgrip test. A direct relationship between fitness and over waist circumference, overfat, and overweight was found.