Background: Nutritional status influences immunity but its specific association with susceptibility to COVID-19 remains unclear. We examined the association of specific dietary data and incident COVID-19 in the UK Biobank (UKB). Methods: We considered UKB participants in England with self-reported baseline (2006–2010) data and linked them to Public Health England COVID-19 test results—performed on samples from combined nose/throat swabs, using real time polymerase chain reaction (RT-PCR)—between March and November 2020. Baseline diet factors included breastfed as baby and specific consumption of coffee, tea, oily fish, processed meat, red meat, fruit, and vegetables. Individual COVID-19 exposure was estimated using the UK’s average monthly positive case rate per specific geo-populations. Logistic regression estimated the odds of COVID-19 positivity by diet status adjusting for baseline socio-demographic factors, medical history, and other lifestyle factors. Another model was further adjusted for COVID-19 exposure. Results: Eligible UKB participants (n = 37,988) were 40 to 70 years of age at baseline; 17% tested positive for COVID-19 by SAR-CoV-2 PCR. After multivariable adjustment, the odds (95% CI) of COVID-19 positivity was 0.90 (0.83, 0.96) when consuming 2–3 cups of coffee/day (vs. <1 cup/day), 0.88 (0.80, 0.98) when consuming vegetables in the third quartile of servings/day (vs. lowest quartile), 1.14 (1.01, 1.29) when consuming fourth quartile servings of processed meats (vs. lowest quartile), and 0.91 (0.85, 0.98) when having been breastfed (vs not breastfed). Associations were attenuated when further adjusted for COVID-19 exposure, but patterns of associations remained. Conclusions: In the UK Biobank, consumption of coffee, vegetables, and being breastfed as a baby were favorably associated with incident COVID-19; intake of processed meat was adversely associated. Although these findings warrant independent confirmation, adherence to certain dietary behaviors may be an additional tool to existing COVID-19 protection guidelines to limit the spread of this virus.