There is scarce information on the influence of dairy consumption between main meals on the overall diet quality through childhood, constituting the main aim of this research. From the Identification and prevention of Dietary- and lifestyle induced health EFfects In Children and infantS (IDEFICS) study, and based on the data availability in each period due to drop outs, 8807 children aged 2 to 9.9 years from eight European countries at baseline (T0: 2007–2008); 5085 children after two years (T1); and 1991 after four years (T3), were included in these analyses. Dietary intake and the Diet Quality Index (DQI) were assessed by two 24 hours dietary recalls (24-HDR) and food frequency questionnaire. Consumption of milk and yogurt (p = 0.04) and cheese (p < 0.001) at snack meal occasions was associated with higher DQI scores in T0; milk and yogurt (p < 0.001), and cheese (p < 0.001) in T1; and cheese (p = 0.05) in T3. Consumers of milk (p = 0.02), yogurt (p < 0.001), or cheese (p < 0.001) throughout T0 and T1 at all snack moments had significantly higher scores of DQI compared to non-consumers. This was also observed with the consumption of cheese between T1 and T3 (p = 0.03). Consumption of dairy products at snack moments through childhood is associated with a better overall diet quality, being a good strategy to improve it in this period.