Energy-dense diets offer a low-cost dietary option to the consumer. However, they are more likely to be nutrient-poor. In this study, based on the French national food consumption survey, the diet costs were estimated using retail food prices in France. Adult participants were stratified by quartiles of energy cost (in euro/10 MJ). Dietary energy density, energy and nutrient intakes were then compared across groups. Participants in the lowest quartile of energy cost had the highest energy intakes, the most energy-dense diets and the lowest daily intakes of key vitamins and micronutrients. Participants in the highest quartile of energy cost had lower energy intakes, and diets that were higher in nutrients and lower in energy density. However, their daily diet costs were 165% higher. In this observational study, the more nutrient-dense diets were associated with higher diet costs.