The number of overweight and obese children in the Western world is alarming. Efforts to impact this problem at an individual level have had little effect. Interventions that focus on the whole population may prove more successful. This study reports the development of a unique self-report picture questionnaire designed to assess playground physical activity preferences in young children (4–9 years, N = 1,881) at 14 regional Australian primary schools. Children’s picture preferences were compared with observational data using the Children’s Activity Scanning tool (CAST2). Results indicate that 62% to 89% of children preferred activities that were moderate or highly active; however, CAST2 data indicated that children spent only 50% to 70% of play time being active. The findings confirm that young children are able to indicate their preferences for physical activity. Important considerations in future attempts to develop a measure of physical activity in young children are discussed.