In this review, we identify the health benefits associated with physical activity (PA); address the physical activity and sedentary guidelines issued by public health scientists as well as children’s compliance to these guidelines; discuss the importance of motor skill acquisition during early childhood; and identify different settings that contribute to physical activity participation and strategies for improving PA in these settings. Results show that regular participation in PA during childhood has numerous immediate benefits, including positive changes in adiposity, skeletal health, psychological health, and cardiorespiratory fitness. Additionally, motor skill development during early childhood may have immediate health benefits as well as long-lasting effects in adulthood. Furthermore, the benefits of PA during childhood also appear to positively influence adult health outcomes, such as increased bone mineral density. Key environmental settings that have been shown to influence children’s PA behavior include child care, active commuting to and from school, school recess, school physical education, after-school programs, churches, medical settings, and the home environment. Recommendations for practitioners and researchers are discussed.