Purpose: Examine in preschool-aged children: (1) the associations between parental-reported and device-measured outdoor play (OP) and health indicators of physical, cognitive, and social–emotional development and (2) whether associations were independent of outdoor moderate- to vigorous-intensity physical activity (MVPA). Methods: This cross-sectional study included 107 participants. Children’s OP was measured via a parental questionnaire and the lux feature of accelerometers. Children’s growth, adiposity, and motor skills were assessed as physical development indicators. Visual–spatial working memory, response inhibition, and expressive language were assessed as cognitive development indicators. Sociability, prosocial behavior, internalizing, externalizing, and self-regulation were assessed as social–emotional development indicators. Regression models were conducted that adjusted for relevant covariates. Additional models further adjusted for outdoor MVPA. Results: Parental-reported total OP, OP in summer/fall months, and OP on weekdays were negatively associated (small effect sizes) with response inhibition and working memory. After adjusting for outdoor MVPA, these associations were no longer statistically significant. OP on weekdays was negatively associated with externalizing (B = −0.04; 95% confidence interval, −0.08 to −0.00; P = .03) after adjusting for outdoor MVPA. A similar pattern was observed for device-based measured total OP (B = −0.49; 95% confidence interval, −1.05 to 0.07; P = .09). Conclusions: Future research in preschool-aged children should take into account MVPA and contextual factors when examining the association between OP and health-related indicators.