Preschool-aged children are in a critical period of developing fundamental movement skills (FMS). FMS have a close link with physical activity (PA). This study aimed to systematically review the associations between FMS and PA in preschool-aged children. Searching Cochrane Library, Web of Science, PubMed, ScienceDirect, and EBSCO (including SPORTDiscus, ERIC, and Academic Search Premier) was utilized to conduct a systematic review of the available literature. Studies were included if they examined associations between FMS and PA among typically developing children aged 3–6 years, published between January 2000 and April 2020. A total of 26 studies met the inclusion criteria, including 24 cross-sectional studies and two cohort studies. There was a strong level of evidence to support low to moderate associations between moderate to vigorous physical activity and components of FMS, specifically, the total FMS (r = 0.11–0.48, R² = 16%–19%) and object control skill (r = 0.16–0.46, β = 0.28–0.49, R² = 10.4%–16.9%). Similar associations were also found between the total physical activity and components of FMS, specifically, the total FMS (r = 0.10–0.45, R² = 16%), locomotor skills (r = 0.14–0.46, R² = 21.3%), and objective control skills (r = 0.16–0.44, β = 0.47, R² = 19.2%). There was strong evidence that there is no significant association between light physical activity and FMS, specifically, total FMS and locomotor skills. The associations, including “stability skills–PA” and “locomotor skills–moderate to vigorous PA”, were uncertain due to insufficient evidence. Our findings provide strong evidence of associations between specific FMS components and a specific PA intensity. Future studies should consider using a longitudinal study design in order to explore the causal relationship between specific-intensity PA and the FMS subdomain.