Background: Early childhood represents a key stage for the development of movement behaviors (MV), motor skills (MS), and executive functions (EF). Body Mass Index (BMI), defined according to World Health Organization (WHO) references, may influence these domains early in life. In this context, this cross-sectional observational study aimed to examine the associations between BMI and 24-hour MV, MS, and EF in Tunisian preschool children aged 4 to 5 years. Methods: This cross-sectional observational study included 112 Tunisian children aged 4 to 5 years (50 boys, 62 girls), recruited from kindergartens in urban and rural areas. Anthropometric measurements were used to calculate age-specific BMI z-scores and classify children into three BMI categories: below normal, normal, and above normal. 24-hour MV (physical activity (PA), sedentary behavior, and sleep) were objectively assessed using accelerometry over five consecutive days. EF (inhibition and working memory) were assessed using standardized cognitive tests, gross MS were evaluated using the Supine Timed Up and Go test (functional mobility), One-Leg Standing Balance test (postural steadiness), Hand Grip Dynamometer (upper body strength), and Standing Long Jump (lower body strength), and fine MS were assessed using the 9-Hole Pegboard Test (dexterity). All tools are validated and standardized for children. Results: Significant differences between BMI categories were observed for anthropometric variables (p < 0.05). In contrast, no significant differences were found for 24-hour MV, adherence to recommendations, EF, or most MS (p > 0.05). Only upper limb strength showed a significant difference (p = 0.035), with children of normal BMI showing slightly higher strength than those with above-normal BMI. Conclusion: In Tunisian preschool children, weight status is primarily associated with differences in physical growth, with no marked relationship to MV, EF, or MS. These findings highlight the importance of universal preventive interventions starting in early childhood.