We examined the independent associations of moderate to vigorous physical activity (MVPA) and sedentary time (ST) with cardiometabolic indicators in Mexican children (4-6 years of age). We conducted a cross-sectional study (n = 400) using the measures of MVPA and ST (7-day accelerometry) and the following indicators: % body fat, waist circumference, body mass index (BMI) z-score, glycated haemoglobin, blood glucose, triglycerides, total cholesterol, low-density lipoprotein (LDL) cholesterol, high-density lipoprotein (HDL) cholesterol, leptin, adiponectin and resting blood pressure. We examined the independent associations of MVPA and ST with cardiometabolic indicators through confounder-adjusted and mutually adjusted (including both MVPA and ST) linear regression models. Confounder-adjusted models showed that MVPA was associated with higher BMI z-scores and lower adiponectin levels in girls and lower body fat among boys. ST was associated with higher body fat, in the full sample, and lower LDL cholesterol among boys. After mutually adjusting for MVPA and ST, MVPA (10-minute increase) remained significantly associated with BMI z-score in girls (beta = 0.187, 95% CI: 0.019, 0.356) and ST (60-minute increase) remained significantly associated with higher body fat (beta = 1.11%, 95% CI: 0.019, 2.203) among boys and higher glycated haemoglobin (beta = 0.047% points, 95% CI: 0.000, 0.094) in the full sample. In preschool-aged children, the objective measures of ST and MVPA were associated with small differences in cardiometabolic health indicators. ST was unfavourably associated with some cardiometabolic indicators even after adjusting for MVPA, and thus appeared to have a more significant role than MVPA, especially in boys. Future longitudinal studies should confirm these results.