Oxidative stress is considered one of the main determinants in the pathophysiology of non-alcoholic fatty liver disease (NAFLD) and obesity. The alterations of oxidant/antioxidant balance are related to chronic impairment of metabolism leading to mitochondrial dysfunction. Increased oxidative stress also triggers hepatocytes stress pathways, leading to inflammation and contributing to the progression of non-alcoholic steatohepatitis (NASH). Currently, the first-line therapeutic treatment of NAFLD is based on lifestyle interventions, suggesting the Mediterranean Diet (MD) as a preferable nutritional approach due to its antioxidant properties. However, it is still debated if adherence to MD could have a role in determining the risk of developing NAFLD directly or indirectly through its effect on weight. We enrolled 336 subjects (aged 35.87 ± 10.37 years; BMI 31.18 ± 9.66 kg/m2) assessing anthropometric parameters, lifestyle habits, metabolic parameters (fasting plasma glucose, fasting plasma insulin, triglycerides (TG), total cholesterol, low-density (LDL) and high-density lipoprotein (HDL) cholesterol, alanine transaminase (ALT), aspartate aminotransferase (AST), and γ-glutamyltransferase (γGT), cardio-metabolic indices [Homeostatic Model Assessment Insulin Resistance (HoMA-IR), visceral adipose index (VAI) and fatty liver index (FLI)] and adherence to MD [with the PREvención con DIetaMEDiterránea (PREDIMED) questionnaire]. Subjects with NAFLD had significantly higher anthropometric parameters, cardio-metabolic indices and lower adherence to MD than subjects without NAFLD. In a multiple regression analysis, PREDIMED score was the main predictor of FLI (p < 0.001) and came in first, followed by HoMA-IR, while VAI was not a predictor. A PREDIMED score value of <6 could serve as a threshold to identify patients who are more likely to have NAFLD (p < 0.001). In conclusion, high adherence to MD resulted in a lower risk of having NAFLD. Adherence to MD could have a direct role on the risk of developing NAFLD, regardless of visceral adipose tissue.