The aims of the present study were twofold: to determine the association between adherence to the Mediterranean diet (MedDiet) and psychological problems and to assess the relationship between different food groups of the MedDiet and different patterns of psychosocial health problems in a sample of Spanish adolescents from the Valle de Ricote (Region of Murcia, Spain). This cross-sectional study included a representative sample of 700 adolescents (57% girls) between 12 and 17 years of age. Adherence to the MedDiet was assessed by the Mediterranean Diet Quality Index for Children and Teenagers (KIDMED). Psychosocial health problems were measured by the 25-item self-report version of the Strengths and Difficulties Questionnaire (SDQ). ANCOVA models were used to test the mean differences in psychosocial health problems (SDQ subscales) by adherence to MedDiet categories (low, medium, and high). Multiple linear regression was used to determine the association between different food groups of the MedDiet and psychosocial health problems. Adolescents with low adherence to the MedDiet had significantly higher scores in SDQ total difficulties, conduct problems, and hyperactivity problems and lower scores in pro-social behavior (p < 0.05) than their peers with medium and high adherence to the MedDiet. In relation to specific MedDiet food groups, fruit, nut, and legume intake were associated with higher psychosocial health. However, sweets, skipping breakfast, or high consumption of pasta or rice (≥5 weeks) were associated to higher psychosocial health problems. Our results show that adolescents with higher adherence to the MedDiet could benefit from greater psychosocial health. Individually, some patterns of MedDiet, such as fruit, nut, and legume intake, may reduce psychosocial health problems. These cross-sectional results should be confirmed in longitudinal and intervention studies.