Research on physical activity (PA) in different educational settings could elucidate which interventions promote a healthy school lifestyle in early childhood education (ECE). The aims of this study were: (a) to analyse the PA levels of preschoolers during school hours, as well as the rate of compliance with specific recommendations on total PA (TPA) and moderate-vigorous PA (MVPA); (b) to examine the role of structured movement sessions and recess time in the MVPA levels during school hours; (c) to evaluate the sociodemographic correlates of preschoolers and the school environment on MVPA behaviour during school hours. PA was evaluated with Actigraph accelerometers. Our main findings were that: (a) preschoolers engaged in very little TPA and MVPA during school hours; (b) children showed significantly higher MVPA levels on days with versus without structured movement sessions, and the contribution of the structured sessions to MVPA was significantly higher than that of recess time; (c) gender and age were associated with PA, and a high density of young children on the playground was associated with high levels of vigorous PA, whereas in the classroom, high density was associated with more sedentary behaviour. Structured PA could reduce the gap in achieving international recommendations.