Background: Dairy products are nutrient-rich foods that may contribute to adequate nutrient intakes. However, dairy intake might also be associated with other food sources that influence nutrient intakes. Therefore, we studied the association of dairy, milk and cheese intake with intake of foods and nutrients from (non)dairy sources. Methods: Dietary intake was assessed from 2007 to 2010 through two non-consecutive 24-h dietary recalls in 1007 children (7-13 years) and 706 adolescents (14-18 years). Participants were divided into non-consumers of a particular dairy product and tertiles according to their dairy intake (lowest, medium and highest intake). P for trend was calculated by linear regression over the median intakes of non-consumers and the tertiles for dairy, milk and cheese. Results: In children, higher dairy consumption was associated with higher intakes of fruits (54.8 g ± 22.3; p < 0.0001), vegetables (25.0 g ± 14.6; p = 0.001) and cereals (18.5 g ± 20.7; p = 0.01) and with lower consumption of non-alcoholic beverages (-281 g ± 101; p = 0.01): soft drinks (-159 g ± 28.2; p < 0.0001) and fruit juices (-40.5 ± 14.8; p = 0.01). Results were comparable for milk consumption. In adolescents, similar results were found for milk and dairy consumption, except for the associations with higher fruits and vegetable intake. In children and adolescents, higher cheese consumption was associated with higher vegetable and non-alcoholic beverages consumption; and lower meat consumption (-7.8 g ± 4.8; p = 0.05) in children. Higher cheese consumption was also associated with higher intakes of saturated fat (8.5 g ± 0.9), trans-fatty acids (0.48 g ± 0.06), sodium (614 mg ± 59.3) and several vitamins and minerals. Conclusions: Higher milk and dairy consumption were associated with lower non-alcoholic beverages consumption, and higher cereal, fruit and vegetable consumption in children, which was also reflected in the nutrient intakes. These findings confirm that the consumption of milk and dairy products might be a marker for healthier eating habits.