The association between dairy product consumption and biomarkers of inflammation, adipocytokines, and oxidative stress is poorly studied in children. Therefore, these associations were examined in a representative subsample of 1338 schoolchildren with a mean age of 11.5 (±0.7) years in the Healthy Growth Study. Information on dairy product consumption was collected by dietary recalls. Total dairy consumption was calculated by summing the intake of milk, yogurt, and cheese. Inflammatory markers, i.e., high-sensitivity C-reactive protein (hs-CRP), interleukin-6 (IL-6), and adipocytokines, i.e., leptin, adiponectin, and the antioxidant enzyme glutathione peroxidase (GPx) were analysed. Due to the skewed distribution hs-CRP, IL-6, and leptin were log transformed. Multivariable regression analyses adjusted for age, sex, energy intake, physical activity, parental education, Tanner stage, and fat mass were used to assess the associations between consumption of total dairy, milk, yogurt, cheese, and markers of inflammation, adipocytokines, oxidative stress, and adiponectin−leptin ratio. Our results showed that milk consumption was inversely associated with leptin (β: −0.101; 95% CI: −0.177, −0.025, p = 0.009) and positively associated with the adiponectin−leptin ratio (β: 0.116; 95% CI: 0.020, 0.211; p = 0.018), while total dairy, cheese, and yogurt consumption were not associated with inflammatory, adipocytokine, or antioxidant markers. Further prospective studies are needed to confirm these results.