The purpose is to explore relationships among moderate to vigorous physical activity (MVPA), sedentary behavior (SB), and actual gross motor competence (MC) and perceived motor competence (PMC) in young children. Data were collected in 101 children (M age = 4.9 ± 0.93 years). MVPA was measured with accelerometry. Gross MC was assessed with the Portuguese version of the Movement Assessment Battery for Children. PMC was evaluated with the Pictorial Scale of Perceived Competence and Social Acceptance for Young Children. Regressions were used to determine predictive relationships related to the following research questions: (a) Can gross MC predict perceived motor competence, (b) can actual and perceived gross MC predict MVPA, and (c) can actual and perceived gross MC predict SB? Results showed no association between gross MC and PMC and between these constructs and MVPA and SB. This lack of association in the early ages is probably due to the young children’s cognitive inability to make accurate self-judgments and evaluations. A child might have low levels of actual gross MC but perceive her- or himself as skillful.