Overweight and obesity are major public health issues worldwide, including in Mexico, particularly among adolescents. This study aimed to analyze the associations between nutritional status and impaired executive function (EF) in Mexican adolescents. A case–control study was conducted with 98 male and female adolescents, categorized into normal weight and overweight/obese groups based on body mass index. EF was assessed using the BANFE-2 test. The prevalence of overweight and obesity was 54.3%. The EF assessment revealed that 82.45% of the overweight/obese group exhibited mild-to-severe impairment, compared to only 36.58% in the normal weight group (X² = 21.69, p < 0.0001). In the inhibitory control assessment, adolescents with overweight and obesity performed worse than their normal-weight counterparts. Specifically, females with overweight/obesity scored lower than females with normal weight on the risk–benefit processing test. The risk of severe EF impairment significantly increased with the presence of overweight/obesity (OR = 7.8, p < 0.0001). These findings indicate that EF, particularly inhibitory control and risk–benefit processing, is impaired in adolescents with overweight or obesity.