Diet plays a key role in the maintenance and optimal functioning of immune cells. The Mediterranean dietary pattern is an example of a prudent choice of lifestyle and scientifically accepted to help preserve human health by protecting against major chronic and inflammatory diseases. Mediterranean diets (MedDiets) are characteristically high in the consumption of fruits, vegetables and salad, bread and whole grain cereals, potatoes, legumes/beans, nuts, and seeds. Their common central feature is the usage of olive oil as the main source of fat. The health benefits attributed to olive oil are specifically related to extra virgin olive oil (EVOO) intake with its high nutritional quality and multiple positive effects on health. Overall, MedDiets have direct (mono-unsaturated fatty acids (MUFAs), tocopherols, polyphenols) and indirect (low saturated fats, well-balanced linoleic/alpha linolenic acid) effects on the immune system and inflammatory responses. In the present paper, we summarize the current knowledge on the effect of olive oil per se and MedDiets generally on immune-mediated and inflammatory diseases, such as coronary heart disease (CHD)/cardiovascular diseases (CVD), obesity, type-2 diabetes, cancer, asthma, and allergies.