Nowadays, it is clear that an unhealthy diet is one of the prime factors that contributes to the rise of inflammatory diseases and autoimmunity in the populations of both developed and developing countries. The Mediterranean diet has been associated with a reduced incidence of certain pathologies related to chronic inflammation and the immune system. Olive oil, the principal source of dietary lipids of the Mediterranean diet, possesses a high nutritional quality and a particular composition, which is especially relevant in the case of Extra Virgin Olive Oil (EVOO). EVOO is obtained from olives solely by mechanical or other physical preparation methods, under conditions that do not alter the natural composition. EVOO is described as a key bioactive food with multiple beneficial properties and it may be effective in the management of some immune-inflammatory diseases. In this review, the key research is summarised which provides evidence of the beneficial effects of EVOO and its minor components focusing on their mechanisms on immune-inflammatory diseases such as rheumatoid arthritis, systemic lupus erythematosus, inflammatory bowel disease and sclerosis.