Background: The aim of this study was to evaluate the relationship between the Dietary Inflammatory Index (DII®) and cardiovascular health indicators in children. Methods: The sample consisted of 365 schoolchildren aged 8 to 12 from the Region of Madrid. Anthropometric and hemodynamic measurements were collected. Variables relating to habits and lifestyles, parental level of education, and data on their diet, through three 24 h food recall surveys, were also collected. The diet quality indicators considered are the DII based on 25 nutrients and the KIDMED index. Results: Children with a more pro-inflammatory diet came from families with lower levels of parental education (p < 0.05). Predictive models show that in the group with a more pro-inflammatory diet (>P50), the likelihood of developing hypertension in childhood is 2.1 times higher (OR = 2.085 (1.107–3.927)) and they have more than twice the risk of developing obesity (OR = 2.3) or developing obesity and hypertension simultaneously (OR = 1.290 (1.316–3.985)). Furthermore, predictive models showed that the children with a pro-inflammatory diet (>P50) had higher values for BFM% (β = 1.957; p = 0.026) and BMI (β = 0.015; p = 0.012) than children with a lower inflammatory diet (<P50). Conclusions: Higher values on the DII are related to poorer nutritional status and cardiovascular health in childhood. Thus, a pro-inflammatory diet is also associated with a lower socio-economic level and poorer diet quality.