Diet diversity becomes especially relevant during adolescence to satisfy the adequate micronutrient intake. Diet diversity (DD) and micronutrient probability of adequacy (PA) were studied in 818 Costa Rican (CR) and 1202 Mexican (MX) adolescents aged 13–18 years. DD was compared using the Minimum Dietary Diversity (MDD) score. Receiver-operating characteristic (ROC) curves were employed to identify the optimal MDD for each sample from the respective countries. The mean MDD for the overall CR sample was 4.17 ± 1.43 points, and for the MX sample, the mean MDD was 4.68 ± 1.48 points. The proportion of adolescents with a DD was significantly higher in Costa Rica than in Mexico (66.5% vs. 55.6%; p < 0.0001). Also, DD was higher in rural Costa Rican adolescents, while no difference was found in the MX adolescents by area of residence. CR adolescents reported significantly higher PA than MX participants for 6 of the 11 micronutrients assessed. The calcium PA in MX adolescents was significantly higher than in the CR sample (MX: 0.84 vs. CR: 0.03; p < 0.0001), while low PA was obtained for iron in both countries (CR: 0.01 vs. MX: 0.07; p < 0.0001). In Costa Rica and Mexico, nutritional interventions and assessing the compliance of food-fortifying programs are needed to improve the PA of diverse micronutrients.