This study identifies physical activity (PA) and sedentary behaviour (SB) clusters in preschoolers compliant (C) or non-compliant (NC) with sleep recommendations; and associates these clusters with obesity markers. PA and SB were objectively assessed (Actigraph WGT3-X) in 272 preschoolers (4.4 ± 0.7 years old). Sleep duration was parent-reported, and preschoolers were classified as C (3–4 years old: 600–780 min/day; 5 years old: 540–660 min/day) or NC with sleep recommendations. Body mass index (BMI) and waist circumference (WC) were assessed according to international protocols. Moderate to vigorous physical activity (MVPA) and light physical activity (LPA) were categorized as low/high (<60 min/>60 min/day or <180 min/180 min/day, respectively). SB was defined according to mean values between clusters. Latent profile analysis was performed. Associations between the observed clusters and obesity markers were determined using linear regression (RStudio; 1.3.1073). Four cluster solutions for C and NC preschoolers were identified. A negative association between C/Low MVPA cluster and BMI, and a positive association between NC/Low MVPA and BMI (β = −0.8, 95%CI = −1.6;−0.1, and β = 0.9, 95%CI = 0.1;1.7, respectively) were observed. No association was seen for SB clusters. Adequate sleep duration may have a protective role for preschoolers’ BMI, even if the children do not comply with MVPA recommendations.