SummaryPhysical activity and self‐regulation are important predictors of pediatric overweight and obesity. Young children (0–5 years) with lower physical activity levels and poorer self‐regulation skills are at greater risk for overweight. Despite growing evidence that the two constructs are interrelated, their association remains unclear in young children. This review systematically summarized associations between physical activity and self‐regulation in early childhood and explored the directionality of associations. Searches were run in six electronic databases. Forty‐seven papers met inclusion criteria. Only three studies investigated all three domains of self‐regulation (behavioral, cognitive, and emotional). Overall, findings were inconclusive; studies reported weak to moderate positive associations (n = 17), inverse associations (n = 5), mixed associations (n = 15), null association (n = 2), and negative (n = 1) between physical activity and self‐regulation. Compared with the emotional and cognitive domains, physical activity was most consistently positively associated with behavioral self‐regulation. Only one study assessed bidirectional associations, reporting a positive association. The three studies that included global self‐regulation showed contradicting findings. There is some evidence that physical activity dose and sex potentially confound these associations; however, further research is needed given the paucity of studies. This review highlights the need for more in‐depth investigation of the complex association between physical activity and global self‐regulation.