A moderately high-fat Mediterranean diet does not promote weight gain. This study aimed to investigate the association between dietary intake of specific types of fat and obesity and body weight. A prospective cohort study was performed using data of 6942 participants in the PREDIMED trial, with yearly repeated validated food-frequency questionnaires, and anthropometric outcomes (median follow-up: 4.8 years). The effects of replacing dietary fat subtypes for one another, proteins or carbohydrates were estimated using generalized estimating equations substitution models. Replacement of 5% energy from saturated fatty acids (SFA) with monounsaturated fatty acids (MUFA) or polyunsaturated fatty acids (PUFA) resulted in weight changes of −0.38 kg (95% Confidece Iinterval (CI): −0.69, −0.07), and −0.51 kg (95% CI: −0.81, −0.20), respectively. Replacing proteins with MUFA or PUFA decreased the odds of becoming obese. Estimates for the daily substitution of one portion of red meat with white meat, oily fish or white fish showed weight changes up to −0.87 kg. Increasing the intake of unsaturated fatty acids at the expense of SFA, proteins, and carbohydrates showed beneficial effects on body weight and obesity. It may therefore be desirable to encourage high-quality fat diets like the Mediterranean diet instead of restricting total fat intake.