The lower occurrence of cancer and cardiovascular disease in the population around the Mediterranean basin has been linked to the dietary habits of the region. Indeed, this so-called Mediterranean diet is essentially different from the diets consumed in Western and Northern European countries and is rich in nuts, fruits, vegetables, legumes, whole-wheat bread, fish, and olive oil, with moderate amounts of red wine, which is mainly consumed during meals. Although a variety of cultural and religious traditions exist among the peoples of the Mediterranean area, olive oil, fish, and red wine hold a traditional and central position in the culinary routines of the region. The components of the diet contain an ample source of molecules with antioxidant and anti-inflammatory actions, among which omega-3 fatty acids, oleic acid, and phenolic compounds hold a prominent place. This review will summarize the results of important epidemiological studies that have investigated the protective effect of fish and olive oil on the risk of breast, prostate, and colorectal cancer and of wine on the risk of cardiovascular disease. The present review also aims to elucidate the various mechanisms by which various dietary components exhibit their beneficial action. In this respect, emphasis will be placed on the properties of omega-3 fatty acids from fish, oleic acid from olive oil, and phenolic compounds from olive oil and red wine.