Adolescent female gymnasts are a vulnerable population in terms of their diet, as their nutritional needs are higher due to their growth and high daily training demands. The Mediterranean diet (MD) is a well-known dietary pattern that is associated with a greater nutritional adequacy and a lower prevalence of overweight. The aim of this cross-sectional study was to evaluate the degree of adherence to the MD among adolescent female athletes who participated in all disciplines of gymnastics in Greece, as well as to explore the potential correlations between MD adherence, body weight, and body mass index (BMI). A total of 269 female gymnasts (between 11–18 years old) completed the Mediterranean Diet Quality Index (KIDMED) and reported their weight and height. Approximately 10% of the participants were underweight and a mere 5.6% were classified as overweight. A high adherence to the MD was reported by 34.9% of the sample and this was correlated with a healthier BMI. Moreover, specific eating habits, such as eating nuts 2–3 times per week and eating fast-food less than once-weekly, were also associated with BMI. Athletes, parents, and coaches of gymnastics should be informed and educated regarding balanced nutrition habits. Future studies could evaluate adherence to MD, as well as the factors that influence the eating behaviors of adolescent female and male athletes in various sports.