I am not sure whether it qualifies as a health food store, but Tarry Market wins rave reviews as a great place for picking up things for an Italian meal. It is often compared to Mario Batali's Eataly in NYC as this is his store too and right next to his Tarry Lodge restaurant. The portion sizes and prices get a favorable mention from reviewers!
Tarry Market
(914) 253-5680
179 N. Main Street
Port Chester, NY 10573