This study examined the association between individual physical fitness (PF) components, overall fitness scores, and executive function (EF) indicators in preschoolers. Additionally, it explored the relationship between objectively measured physical activity (PA), sedentary behavior (SB), and EF. This cross-sectional study included 241 preschoolers (121 males, 50%) aged 3–5 years from two different schools. Physical fitness was assessed using the PREFIT battery, which measures lower- and upper-body muscular strength (handgrip strength [HGS] and standing long jump [SLJ]), speed/agility (4 × 10 m), and cardiorespiratory fitness (CRF). The test scores for each student were standardized by age and sex. Individual z-scores were then calculated, and the sum of these z-scores constituted the overall PF. EF (including visual-spatial working memory, phonological working memory, inhibition, and cognitive shifting) was assessed using the one-on-one iPad-based Early Year Toolbox. Total PA, SB, and SB were objectively measured using a tri-axial GENEActiv Original accelerometer worn for six consecutive days. Preschoolers with higher overall PF showed significantly better performance in visual-spatial working memory (β = 0.574, p < 0.001), phonological working memory (β = 0.317, p < 0.001), inhibition (β = 0.379, p < 0.001) and cognitive shifting (β = 0.395, p < 0.001). Similarly, greater engagement in total PA was associated with higher scores in visual-spatial working memory (β = 0.179, p = 0.016), phonological working memory (β = 0.237, p = 0.036), and inhibition (β = 0.148, p = 0.045), which had higher scores on inhibitory control and working memory tasks. These findings highlight the significant influence of PF and PA levels on cognitive performance. Therefore, educational and public health programs must implement strategies to encourage regular PA and improve PF. Such efforts could contribute to better cognitive development and overall health outcomes.