Menopause alters body composition by increasing fat mass. Menopausal hormone therapy (MHT) is associated with decreased total and visceral adiposity. It is unclear whether MHT favorably affects energy intake. We aimed to assess in the OsteoLaus cohort whether total energy intake (TEI) and/or diet quality (macro- and micronutrients, dietary patterns, dietary scores, dietary recommendations)—evaluated by a validated food frequency questionnaire—differ in 839 postmenopausal women classified as current, past or never MHT users. There was no difference between groups regarding TEI or consumption of macronutrients. After multivariable adjustment, MHT users were less likely to adhere to the unhealthy pattern ‘fat and sugar: Current vs. never users [OR (95% CI): 0.48 (0.28–0.82)]; past vs. never users [OR (95% CI): 0.47 (0.27–0.78)]. Past users exhibited a better performance in the revised score for Mediterranean diet than never users (5.00 ± 0.12 vs. 4.63 ± 0.08, p < 0.04). Differences regarding compliance with dietary recommendations were no longer significant after adjustment for covariates. Overall, these results argue against a major role of TEI and diet quality as possible mediators of the MHT metabolic benefits. Future research on this relationship should focus on other potential targets of MHT, such as resting energy expenditure and physical activity.