Physical activity, body mass, and dietary habits are known to be important determinants of overall health status, but there is an evident lack of studies that examine these issues specifically in preschool children. The aim of this study was to identify associations that may exist between adhering to the Mediterranean diet (MD), levels of physical activity (PA), and body composition indices in apparently healthy preschool children from southern Croatia. Participants were 5- to 6-year-old preschoolers from the Mediterranean part of the country (the Split-Dalmatia County; n = 260, 126 females). Adherence to the MD was observed by the Mediterranean Diet Quality Index (KIDMED), PA level was evaluated by the Preschool-age Children’s Physical Activity Questionnaire (Pre-PAQ), and responses were collected from the parents. The participants’ waist circumferences (in cm), waist-to-hip ratios, and body mass index (in kg/m2, and in a z-score calculated relative to the normative value for age and sex) were used as indicators of body composition. All children were of the same age and tested over a one-month period of the same year as a part of the regular examination undertaken before attending elementary school. With only 6% of the children having a low KIDMED score, adherence to the MD was high. MD adherence was higher in girls (Chi-square = 15.31, p < 0.01) and children who live on the coast of the Adriatic Sea (Chi-square = 18.51, p < 0.01). A mixed effects logistic regression (with kindergarten as random factor) identified sedentary activity to be negatively associated with MD adherence (OR per point: 0.65, 95% CI: 0.44–0.91). High adherence to the MD in the studied sample may be attributed to regulated feeding in kindergarten. Considering that most Croatian elementary schools do not provide food to their students, MD adherence should be investigated later in life and also in other parts of the country where the MD is culturally less prevalent.