The prevalence of asthma has nearly doubled over the last decades. Twentieth century changes in environmental and lifestyle factors, including changes in dietary habits, physical activity and the obesity epidemic, have been suggested to play a role in the increase of asthma prevalence and uncontrolled asthma worldwide. A large body of evidence has suggested that obesity is a likely risk factor for asthma, but mechanisms are still unclear. Regarding diet and physical activity, the literature remains inconclusive. Although the investigation of nutritional factors as a whole (i.e., the “diet, physical activity and body composition” triad) is highly relevant in terms of understanding underlying mechanisms, as well as designing effective public health interventions, their combined effects across the life course has not received a lot of attention. In this review, we discuss the state of the art regarding the role of nutritional factors in asthma, for each window of exposure. We focus on the methodological and conceptual challenges encountered in the investigation of the complex time-dependent interrelations between nutritional factors and asthma and its control, and their interaction with other determinants of asthma. Lastly, we provide guidance on how to address these challenges, as well as suggestions for future research.