Data mainly from one-off surveys clearly show that the health of Roma, the largest ethnic minority of Europe, is much worse than that of the general population. However, results from comprehensive exploratory studies are missing. The aim of our study was to create a complex database for comparative and association studies to better understand the background of the very unfavourable health of Roma, especially the high burden of cardiometabolic diseases. A three-pillar (questionnaire-based, physical and laboratory examinations) health survey was carried out on randomly selected samples of the Hungarian general (HG, n = 417) and Roma (HR, n = 415) populations, and a database consisting of more than half a million datapoints was created. Using selected data, the prevalence rates of metabolic syndrome (MetS) and of its components were determined, and to estimate the risk of insulin resistance (IR), surrogate measures (the homeostasis model assessment of insulin resistance index, quantitative insulin sensitivity check index, McAuley and TyG indices and the TG/HDL-C ratio) were calculated. Receiver operating characteristic curve analysis and Youden’s method were used to define the optimal cut-off values of each IR index. The prevalence of MetS was very high in both study populations (HG: 39.8%, HR: 44.0%) with no statistically significant difference between the two groups in females or males. The prevalence of MetS showed a very marked increase in the HR 35–49 years age group. Among surrogate measures, the TyG index showed the greatest power for predicting IR/MetS at a cut-off value of 4.69 (77% sensitivity, 84% specificity) and indicated a 42.3% (HG) and 40.5% (HR) prevalence of IR. The prevalence of MetS and IR is almost equally very unfavourable in both groups; thus, the factors underlying the high premature mortality burden of Roma should be further clarified by investigating the full spectrum of risk factors available in the database, with a special focus on the access of Roma people to preventive and curative health services.