This study examined the effects of perceptions of motor abilities on aerobic and musculoskeletal exercise performance in young children at risk for developmental coordination disorder (rDCD). The participants (N = 539) were part of a larger cohort study, the Coordination and Activity Tracking in Children (CATCH) study. The Movement Assessment Battery for Children (2nd Edition) was used to determine rDCD children. Perceptions of motor abilities were measured by the Perceived Efficacy and Goals Setting system. Aerobic exercise performance was measured using the Bruce Protocol treadmill test, and musculoskeletal exercise performance was assessed using the standing long jump and the Wingate Anaerobic test. The rDCD children reported lower Perceived Efficacy and Goals Setting scores and performed worse on all exercise performance measures. Perceptions of ability also mediated the relationship between developmental coordination disorder and each exercise performance test. It is concerning that children with low motor coordination report lower perceptions of ability even at a very young age.