The aim of the study was to examine associations between moderate-to-vigorous physical activity and sedentary time with sleep quality and quantity among preschool girls and boys using objective methods. Children (5–6 years old) attending kindergarten were recruited (n = 676). Measures included accelerometer-derived 24-hr activity and sleep for seven consecutive days. Longer time spent in moderate-to-vigorous physical activity was associated with higher sleep efficiency both in boys (p < 0.0001) and girls (p = 0447), and with lower Sleep Fragmentation Index in boys (p = 0.0042) and girls (p = 0.0494). Moreover, among boys, moderate-to-vigorous physical activity was inversely associated with wakefulness after sleep onset (p = 0.0006), number of awakenings (p = 0.0081) and Fragmentation Index (p = 0.0041), while in girls with sleep duration (p = 0.0405), Movement Index (p = 0.0128) and Sleep Fragmentation Index (p = 0.0494). Longer time spent sedentary was associated with lower sleep efficiency, and higher wakefulness after sleep onset, number of awakenings, Movement Index and Sleep Fragmentation Index—all with p < 0.0001. Furthermore, sedentary time was inversely associated with sleep duration both in boys (p < 0.0001) and girls (p = 0.0006), and directly associated with Fragmentation Index but only in boys (p = 0.0069). Meeting the recommended level of moderate-to-vigorous physical activity was associated with better sleep efficiency, lower wakefulness after sleep onset and number of awakenings among boys. All sleep-related variables showed significant differences between quartile groups according to sedentary time (p < 0.05) in both the total group and the boys. The sedentary time had the strongest, negative effect on sleep-related parameters in preschool children, therefore sedentary time reduction may contribute more to improving sleep quality than increasing moderate-to-vigorous physical activity.