Italian here. To start, there is immense peer pressure over physical appearance - god forbid a neighbour might see you in a tracksuit when you're buying some milk on Saturday morning, let alone seeing you as fat. Then you have cities built for walking, not driving, which makes a HUGE difference in the quantity of everyday low-intensity physical exercise. Then you have strict quality controls on traditional food manufacturing. Then you have a general obsession with cooking every day.

This said, as US-style food becomes more mainstream (thank you, Hollywood), obesity rates are going up in Italy as well.