Whether snacks help young children meet nutritional needs or merely contribute to excessive intakes is debated. This research evaluated associations of snacking with dietary quality among US preschoolers (two to five years, n = 4217) in the 2005–2016 National Health Examination Survey (NHANES). Snacking occasions, size, and energy density (ED) were estimated from two 24-hr dietary recalls. Diet quality indices included the 2015 Healthy Eating Index (HEI-2015, 0–100), the mean adequacy ratio (MAR, 0–100) for five shortfall nutrients (vitamin D, calcium, fiber, potassium, and iron), and the mean % of recommended limits for added sugars, saturated fat, and sodium. Linear regressions included snacking parameters, demographics, and dietary reporting accuracy. Children had a mean HEI-2015 of 53.0, a MAR of 67.7, and intake of 121.4% of nutrients to limit. Daily snacking occasions were positively associated with HEI-2015 scores, whereas mean snack size and ED were negatively associated with HEI-2015 and MAR scores (all p < 0.05). Snack ED was positively associated with daily intakes of added sugar, saturated fat, and sodium (p < 0.001). These nationally representative findings reveal that more frequent, smaller, and less energy-dense snacks are associated with higher diet quality among US preschoolers.