The global trend in inactivity in children may be related to psychosocial problems. We investigated the cross-sectional association between physical activity (PA) levels and psychosocial functioning in 3.4-7.3-year-old children. Children from the Dutch GECKO birth cohort (N = 898; 51.6% boys) had PA levels assessed objectively by accelerometry (ActiGraph GT3X) for at least three days. Linear regression analysis was used for associations with psychosocial functioning (parent report of the Strengths and Difficulties Questionnaire), controlling for gender, age and socio-economic status. Higher total and moderate-to-vigorous PA levels (MVPA) were associated with higher Total Difficulty scores, and sedentary time to lower Total Difficulty scores. More time spent in MVPA was significantly associated to "hyperactivity/inattention" in both boys (Standardized BBOYS = 0.192) and girls (Std.BGIRLS = 0.139) whereas for the time in sedentary behaviour, a reverse association was found only in boys (Std.BBOYS = -0.230). In boys only, more time in MVPA (Std.BBOYS = 0.154) and less time in sedentary behaviour (Std.BBOYS = -0.147), were significant determinants for 'behavioural problems'. When using objectively measured PA, parents report more hyperactivity/inattention and behavioural problems in the more active children, and less in the more sedentary children, most clearly for boys. High levels of PA might be an indicator of psychosocial problems in young children.