Increasing evidence indicates favourable effects of the Mediterranean diet, partly associated to its monounsaturated fatty acids (MUFA) content on both obesity and diabetes. However, neither the underlying mechanisms by which the Mediterranean diet exerts its protective effect, nor the interplay with other environmental factors (i.e. physical activity), are fully characterised. In this review, we examined recent data on how the metabolic fate of MUFA and saturated fatty acids (SFA) differs. Because of differential packaging into lipoproteins, hydrolysis of triacylglycerol-rich lipoproteins by lipoprotein lipase and transport into oxidative tissues, MUFA are oxidised more than SFA. This high MUFA oxidation favour lipid oxidation and according to the oxidative balance concept reduces the risk of obesity. It also improves the intra-muscular triacylglycerol turnover, which mitigates the SFA-induced accumulation of diacylglycerol and ceramides, and thus protects the insulin sensitivity and cell viability. Finally, physical activity through its action on the energy turnover differentially regulates the metabolism of SFA and MUFA. The putative combined role of AMP-activated kinase and mitochondrial glycerol-3-phosphate transferase on the intra-muscular partitioning of MUFA and SFA provides new areas of research to better understand the beneficial effects of the Mediterranean diet and physical activity on obesity and diabetes.