Virgin olive oil is a characteristic component and the main source of fat of the Mediterranean diet. It is a mix of high-value health compounds, including monounsaturated fatty acids (mainly oleic acid), simple phenols (such as hydroxytyrosol and tyrosol), secoiridoids (such as oleuropein, oleocanthal), flavonoids, and terpenoids (such as squalene). Olive oil consumption has been shown to improve different aspects of human health and has been associated with a lower risk of cancer. However, the underlying cellular mechanisms involved in such effects are still poorly defined, but seem to be related to a promotion of apoptosis, modulation of epigenetic patterns, blockade of cell cycle, and angiogenesis regulation. The aim of this review is to update the current associations of cancer risk with the Mediterranean diet, olive oil consumption and its main components. In addition, the identification of key olive oil components involved in anticarcinogenic mechanisms and pathways according to experimental models is also addressed.