China has undergone rapid social transitions within the last few decades. However, mental health issues, challenges to psychological well-being, and poor dietary choices have gradually surfaced. These health concerns are related to the rapid growth of the aging population and of the fast-paced industrialized society. Nevertheless, there is little knowledge about food preferences and psychological well-being measurements in contemporary China. Applying the 2011 China Health and Nutrition Survey (CHNS) with a cross-sectional study design (n = 7970), we conducted multinomial logistic regression models to investigate the associations of food preferences, including fast food, salty snacks, fruits, vegetables, and sweetened beverages, with psychological well-being among Chinese middle-aged and older adults (age ≥ 45). Food preferences are mostly associated with psychological well-being (p < 0.05). However, respondents’ preferences regarding fast food, salty snacks, and sweetened beverages are associated not only with poorer psychological health status, but also with positive psychological well-being. We speculate that Chinese older adults may consume Westernized fast food and salty snacks as pleasure to the palate due to the recent Westernization in modern China. We also provide practical implications of results from this preliminary study.