The Mediterranean diet has recently been the focus of considerable attention as a palatable model of a healthy diet. Its influence on many cardiovascular risk factors, combined with its proven effect in reducing the risk of cardiovascular events in primary prevention, has boosted scientific interest in this age-old nutritional model. Many of the underlying mechanisms behind its health-giving effects have been revealed, from the modulation of the microbiota to the function of high-density lipoproteins (HDL), and it seems to deliver its health benefits mainly by regulating several key mechanisms of atherosclerosis. In this review, we will review the evidence for its regulation of endothelial function, a key element in the early and late stages of atherosclerosis. In addition, we will assess studies which evaluate its effects on the functioning of different arterial territory vessels (mainly the microvascular, peripheral and central vascular beds), focusing mainly on the capillary, brachial and carotid arteries. Finally, we will evaluate the molecular mechanisms which may be involved.