Purpose: To investigate the associations of physical activity intensity and modified organized sport with cognitive (i.e., executive functions) and psychosocial development in preschoolers. Methods: Preschool children (n = 247; 4.2 ± 0.6 years) had their physical activity intensity (light: LPA; moderate: MPA; vigorous: VPA; moderate-to-vigorous: MVPA) and total physical activity (TPA) objectively measured using accelerometery, and parents reported children's participation in sport. Direct assessment of children's executive functions (working memory, inhibition and shifting) and educator-reported psychosocial difficulties were also collected. Associations were examined using linear regression adjusting for covariates and preschool clustering. Results: LPA was negatively associated with children's visual-spatial working memory (b = −0.04; 95% CI: −0.07, −0.01, p = 0.02) while a positive association with VPA approached significance (b = 0.04; 95% CI: −0.01, 0.09, p = 0.08) but was relatively weak. Higher VPA (b = −0.17; CI: −0.28, −0.06, p = 0.01) was associated with fewer internalizing behavior problems. However, more externalizing behavior problems was associated with MPA (b = 0.30; CI: 0.02, 0.58, p = 0.03), weakly associated with VPA (b = 0.31; CI: −0.05, 0.68, p = 0.09), and moderately associated with MVPA (b = 0.18; CI: 0.00, 0.36, p = 0.05). Participation in modified organized sport was associated with higher shifting performance (Mdiff= 2.17; CI: 0.91, 3.44, p < 0.01). Conclusion: Decreasing LPA, increasing VPA and supporting participation in organized sport may be viable targets for cognitive and psychosocial development in preschool children. Longitudinal and experimental studies are needed to confirm these findings.