Childhood overweight and obesity is a global concern and has increased in Spain over the last decades. Combinations of lifestyle behaviors (i.e., diet, sleep, and sedentarism) are highly related to weight status. Therefore, this study aimed to identify lifestyle patterns among children from Madrid City, and analyze associations with the prevalence of overweight, obesity, and abdominal obesity, considering socio-economic factors. A cross-sectional analysis was conducted on 4545 children from the ENPIMAD study with data on diet, sleep, anthropometric, and socio-economic variables. K-means cluster analysis was used to identify lifestyle clusters, and logistic regressions were used to examine the associations between socio-economic indicators and cluster membership, and between clusters and weight status. Findings show three lifestyle clusters (healthy, mixed, and unhealthy), with boys and older children more represented in the unhealthy cluster. Food insecurity and low socio-economic status were associated with unhealthier clusters in boys and girls. Children in unhealthier clusters were more likely to have obesity and abdominal obesity. However, these associations disappeared in girls after controlling for food insecurity. These results provide insight into the combination of behaviors and socio-economic factors associated with childhood obesity that may aid in the design of future interventions.