Engagement in physical activity and sleep duration are crucial to the adequate psychosocial and healthy development of children. Thus, the aim of this study was to develop an explanatory model of the relationships of physical activity and sleep duration with self-concept, Mediterranean diet and problematic use of videogames. Accordingly, a structural model was contrasted by means of a multi-group analysis according to gender. A non-experimental study was conducted with a descriptive, cross-sectional design for a sample of 1154 students aged 11–12 years (M = 11.41 ± 0.49). An ad hoc questionnaire was used to record sociodemographic and physical-health attributes (physical activity time and sleep). Adherence to a Mediterranean diet was assessed using the KIDMED questionnaire, self-concept was assessed using “self-concept form-5” (AF-5) and problematic videogame use was assessed using the “Video Game-Related Experiences Questionnaire”. For data analysis, a multi-group structural equation analysis was performed. The results showed that physical activity was positively associated with self-concept, while sleep duration and self-concept were negatively related to problematic videogame use. In boys there was a direct effect of self-concept on sleep duration and adherence to the Mediterranean diet, while girls did not generate such differences. Although there is a negative association between physical activity and problematic videogame use in the theoretical model and in boys, girls showed a direct association between these factors. Finally, physical activity and sleep duration were directly related in boys and indirectly related in girls.