Background: High levels of sedentary behaviour (SB) are associated with poor health outcomes in children, but the effects on mental health are less clear. This study explored the relationship between SB and psychosocial aspects of health in children, and what influence key role models, including parents and schoolteachers, have on the SB levels of children. Methods: Physical activity (PA) and SB were measured using accelerometery in 101 children, 113 parents and 9 teachers. Children were aged 9 or 10 years old and in fourth grade. Child psychosocial outcomes were assessed using the Rosenberg Self-Esteem Scale and the Strengths and Difficulties Questionnaire. Results: Children engaged in a high volume of SB (9.6 h/day) but interrupted SB often. They accumulated less than 11,000 steps per day, and thus, many may not meet the recommended daily levels of PA. No associations were found between child SB and teacher SB during the school day or child SB and parent SB during the after-school period. No association was found between SB and self-esteem, although children with a higher body mass index had a higher number of emotional and behavioural difficulties. Conclusions: Although there was no indication that children’s SB was linked to that of parents and teachers, or that SB was associated with self-esteem or behavioural problems, school children were highly sedentary and insufficiently physically active. Therefore, there is a need to explore school practices and curriculum delivery methods, as well as school and home environments, to reduce the volume of SB children engage in.