The present investigation provides a new paradigm, the fat but healthy diet, through which to analyze the importance of adherence to the Mediterranean diet (AMD) in the adolescent population. To this end, the objectives were to analyze the existing differences in physical fitness, level of physical activity, and kinanthropometric variables in males and females with different AMD and to determine the existing differences in physical fitness, level of physical activity, and kinanthropometric variables in adolescents with different body mass index and AMD. The sample consisted of 791 adolescent males and females whose AMD, level of physical activity, kinanthropometric variables, and physical condition were measured. The results showed that when analyzing the whole sample, the differences were only significant in the level of physical activity among adolescents with different AMD. However, when considering the gender of the adolescents, the males also showed differences in the kinanthropometric variables, while the females did so in the fitness variables. In addition, when considering gender and body mass index, the results showed that overweight males with better AMD showed less physical activity and higher body mass, sum of three skinfolds, and waist circumference, and females did not show differences in any variable. Therefore, the benefits of AMD in anthropometric variables and physical fitness of adolescents are questioned, and the fat but healthy diet paradigm cannot be confirmed in the present research.