Childhood obesity is related to low physical activity level and a sedentary lifestyle. The aim of this study was to assess the physical activity level and sedentary behaviour of Malaysian children aged 7 to 12 years and to examine their association with body mass index (BMI), BMI-for-age Z-score (BAZ), body fatness (%BF) and waist circumference (WC). A total of 1736 children, representing all ethnic groups were recruited from six regions of Malaysia. Anthropometric measurements included body weight, height and waist circumference. Body fat percentage (%BF) was assessed using bioelectrical impedance. Physical activity was assessed by a physical activity questionnaire (PAQ) in all children and by pedometers in a subsample (n = 514). PAQ score and pedometer step counts were negatively associated with BMI, BAZ, %BF and WC after adjusting for covariates. Screen time was positively associated with BAZ and WC. However, other sedentary activities were not significantly related with any anthropometric indicators. Strategies to promote active living among children in Malaysia should focus not only on increasing physical activity but also emphasise reduction in sedentary behaviours.