Background: Economic dimension comprises important determinants of food choices, particularly income and prices. Aim: Identification of the influence of food prices and diet costs on the consumption of food groups considered protection and risk factors for cardiometabolic diseases. Methods: Food groups classification follows the proposal of “What we eat in America?” from the National Health and Nutrition Examination Survey (NHANES), adapted to Latin America. Data on food consumption from the Health Survey of Sao Paulo (2003, 2008, and 2015), representative at population level, was used. Log-linear regressions were estimated for food groups, controlling for endogeneity through augmented regression-test Results: Results showed increase in prices per calorie of whole grains and red meat from 2003–2015 and a decrease in prices per calorie of fruits, vegetables, beans, legumes, oilseeds and fish/seafood. Food groups had price elasticities between −0.01 and −1.6, i.e., decrease in consumption associated with increase in prices. Results showed statistically significant effects of substitution and complementarity, particularly substitution between sweetened beverages and fruits (2003, β = 0.606; 2008: β = 0.683; 2015, β = 0.848), complementarity between nuts and seeds and whole grains (2003, β = −0.646; 2008, β = −0.647; 2015, β = −0.901), and vegetables and processed meat (2003, β = −1.379; 2015, β = −1.685). Conclusion: Findings of the study represent relevant evidence for design strategies towards the adoption of healthier diets, particularly through subsidies to protection food groups, promoting lower prices and higher diet quality. The evidence may be useful for policymakers and researchers in fields of nutrition and health in diverse countries worldwide, especially due to absence of robust evidence in literature.