Obesity and metabolic syndrome (MetS) are worldwide major health challenges. The Mediterranean diet (MD) is associated with a better cardiometabolic profile, but these beneficial effects may be influenced by genetic variations, modulating the predisposition to obesity or MetS. The aim was to assess whether interaction effects occur between an obesity genetic risk score (obesity-GRS) and the MD on adiposity and MetS in European adolescents. Multiple linear regression models were used to assess the interaction effects of an obesity-GRS and the MD on adiposity and MetS and its components. Interaction effects between the MD on adiposity and MetS were observed in both sex groups (p < 0.05). However, those interaction effects were only expressed in a certain number of adolescents, when a limited number of risk alleles were present. Regarding adiposity, a total of 51.1% males and 98.7% females had lower body mass index (BMI) as a result of higher MD adherence. Concerning MetS, only 9.9% of males with higher MD adherence had lower MetS scores. However, the same effect was observed in 95.2% of females. In conclusion, obesity-related genotypes could modulate the relationship between MD adherence and adiposity and MetS in European adolescents; the interaction effect was higher in females than in males.