This review summarizes the association between directly assessed physical activity and adiposity in preschool children (age 1.5–6 years). It includes 17 cross-sectional and longitudinal studies that were published between January 1999 and February 2010. The association between physical activity and obesity seems to depend on the outcome measure of adiposity. In 60% (3/5) of the studies using percentage body fat, an inverse significant relationship with physical activity was found against 18% (2/11) of the studies that used body mass index as method to assess adiposity. Physical activity is inversely related to percentage body fat in preschool children. The associations between physical activity and body mass index as a measure of adiposity in preschool children remain elusive. Further studies using directly measured physical activity and percentage body fat to define adiposity are needed to draw more firm conclusions.