Adolescence is a critical period, because major physical and psychologic changes occur during a very short period of time. Changes in dietary habits may induce different types of nutritional disorders and are likely to track into adulthood. The aim of this review is to describe the key findings related to nutritional status in European adolescents participating in the HELENA (Healthy Lifestyle in Europe by Nutrition in Adolescence) study. We performed a cross-sectional study in 3528 (1845 females) adolescents aged 12.5–17.5 y. Birth weight was negatively associated with abdominal fat mass in adolescents and serum leptin concentrations (in female adolescents), providing additional evidence for a programming effect of birth weight on energy homeostasis control. Breakfast consumption was associated with lower body fat content and healthier cardiovascular profile. Adolescents eat half of the recommended amount of fruit and vegetables and less than two-thirds of the recommended amount of milk and milk products but consume more meat and meat products, fats, and sweets than recommended. For beverage consumption, sugar-sweetened beverages, sweetened milk, low-fat milk, and fruit juice provided the highest amount of energy. Although the intakes of saturated fatty acids (FAs) and salt were high, the intake of polyunsaturated FAs was low. Adolescents spent, on average, 9 h/d of their waking time (66–71% and 70–73% of the registered time in boys and girls, respectively) in sedentary activities. Factors associated with adolescents’ sedentary behavior included the following: 1) age; 2) media availability in the bedroom; 3) sleeping time; 4) breakfast consumption; and 5) season. Sedentary time was also associated with cardiovascular risk factors and bone mineral content. In European adolescents, deficient concentrations were identified for plasma folate (15%), vitamin D (15%), pyridoxal 5′-phosphate (5%), β-carotene (25%), and vitamin E (5%). Scientists and public health authorities should raise awareness of the importance of a healthy and sustainable lifestyle as a foundation of the health of the European population, now and in the future.