Background: Data on objectively measured physical activity (PA) in preschoolers are controversial. Direct accelerometry was performed in children aged 3–6 years, and differences in PA patterns over the course of the week were evaluated. Data were analyzed with gender, BMI, lifestyle, and socioeconomic parameters as covariates. Methods: PA was measured in 119 children by the SensewearPro accelerometer and analyzed in the 92 (40 girls) that wore it for at least 4 days including one day of the weekend. Median measuring time in this group was 7 consecutive days (median/mean daily measuring time: 23.5 h/d and 21.8 h/d, respectively), corresponding to 834,000 analyzed minutes. PA questionnaires were completed by 103 parents and 87 preschool teachers to collect anthropometric, lifestyle, and socioeconomic data. Results: Median daily PA (MET.3) was 4.3 hours (mean: 4.4 hours). Boys spent an estimated 52 min/week more being very active (MET.6) than girls (95% CI [6, 96] min/week, p = 0.02). PA was lower during the weekend (3.7 h/d) compared to weekdays (4.5 h/d), p = 361026), where a 95% CI for the difference is [0.5, 1.0] h/d. PA levels did not differ between overweight/obese children (median 4.7 h/d) and normal-weight peers (median 4.2 h/d). Daily media consumption increased with decreasing social class on weekdays (p = 0.05) and during the weekend (p = 0.01), but was not related to the amount of daily PA. A multivariate regression with BMI-SDS as independent variable and gender, age, amount of PA.6 MET, parental BMI, media time and socioeconomic status as explanatory variables revealed that only SES had a significant contribution. Conclusion: The negative impact of obesity-promoting factors in older children is rather low for preschoolers, but there is evidently a gradient in PA between weekdays and weekends already in this age group. Weight status of preschoolers is already considerably influenced by SES, but not physical activity levels.