Background: The protective role of the Mediterranean diet (MD) in mental disorders has become a recent research focus over the last years. Aim: To examine the effect of the MD adherence on the risk of developing eating disorders (ED) and depression. Methods: Adults between 18 and 60 years of age were included. The MD score was applied from an 11-item Food Frequency Questionnaire. The Eating Attitudes Test was used for the detection of ED and depression was assessed using a subscale (BDI-21) of the Symptom Rating Scale for Depression and Anxiety. Differences were considered significant at p < 0.05 and 95% confidence interval. Results: A total of 225 people with median age 23.0 (20.0, 28.0) years. 75.6% reported medium adherence to the MD, while 72.0% reported minimal or no depression and 38.7% had a tendency to develop ED. Also, males with high adherence to the MD had a 75% [0.25 (0.07, 0.86)] lower risk of developing ED compared to those with low adherence. Individuals with abnormal weight and medium or high adherence to the MD had an 89% lower likelihood of experiencing depression compared to those with low adherence [0.11 (0.03, 0.46) for medium adherence] and [0.11 (0.1, 0.88) for high adherence] indicating an effect size of 9, which represents a very large effect size. Conclusions: A high adherence to the MD is associated with a lower risk of developing ED in men, whereas a medium to high adherence to the MD is associated with a lower risk of developing depression, in both genders.