Translational research has documented the conjoint beneficial relationships between dietary and physical activity habits concerning weight maintenance. However, the precise interplay between diet and exercise impacting body composition remains unclear, challenging personalized interventions. This study aimed to explore potential interactions and effect modifications of these factors affecting the body mass index (BMI) within an online adult cohort. Data from 11,883 NUTRiMDEA cohort participants were analyzed in this cross-sectional study, categorizing individuals by age, sex, and BMI using linear regression models to assess the interactions between lifestyle factors and adiposity. Significant differences emerged in anthropometry, lifestyle, and health-related quality of life (HRQoL) across categories. The combined effect of diet and physical activity had a greater impact on BMI than physical activity or Mediterranean diet adherence alone, with lower BMI as physical activity levels increased (β: −0.5) and adherence to the Mediterranean diet decreased, where a modification effect between them was identified (β: −0.28). Participants with lower Mediterranean diet adherence displayed superior BMI when physical activity was low, but when activity levels were higher, their BMI aligned with those with healthier dietary habits. An interaction link between lifestyle factors and BMI was found, showing the differential effects of the Mediterranean diet and physical activity combination concerning adiposity.