Fostering Emotional Intelligence (EI) has gained importance to provide a new generation of citizens aimed to improve the human mindset. With this aim, developing EI from early childhood is a great opportunity. The aim of this systematic review was to analyze the effects of physical activity (PA) on preschoolers’ EI. A review of relevant articles was carried out using four electronic databases (Web of Sciences, Scopus, SPORTDiscus, and ProQuest) up to 19 October 2022. From a total of 133 studies initially found, 6 were included in the qualitative synthesis. The main outcomes highlighted that: (i) Increasing PA hours in early childhood could positively influence children’s emotional competence. (ii) The dynamic psychomotor methodology seems more effective than the normative psychomotor teaching methodology for improving preschool-aged children’s EI. (iii) The application of different intervention programs has positive influenced preschool children’s emotional education: the teaching personal and social responsibility model (TPSR) for promoting socio-emotional learning, the psychomotor education program for improving affects, and the psychomotor training program for fueling emotional competence in children with developmental delays. Therefore, physical education classes in preschool could positively influence the development of emotional competence in children at the early childhood education stage.