A pro-inflammatory diet may have an adverse influence on stress and inflammatory biomarker levels among college students. The dietary inflammatory index (DII^®) is a tool used to assess the inflammatory potential of a diet. However, evidence for the association between DII and stress is limited. We examined the association between energy-adjusted DII (E-DII^TM), high sensitivity-C-reactive protein [hs-CRP], and stress among female college students. This cross-sectional study included 401 randomly selected female students, aged 19–35 years. Data collection included blood, anthropometric measurements, a healthy-history questionnaire, the perceived stress scale (PSS-10), the Saudi food frequency questionnaire (FFQ), and E-DII. Multiple linear regression analyses were used to examine the association between FFQ-derived E-DII score, hs-CRP, and PSS. A higher E-DII score per 1SD (1.8) was associated with a 2.4-times higher PSS score (95% CI: 1.8, 3.1). Higher hs-CRP per 1SD (3.3 mg/L) was associated with a 0.9 (95% CI: 0.7–1.1) times higher PSS score, independent of lifestyle and dietary factors. Our findings indicate that pro-inflammatory diets were highly prevalent among Saudi college students and were associated with higher stress levels. Consideration of the role of stress and focusing on anti-inflammatory foods may be key for healthier dietary habits.