The aim of this review was to systematically summarize the literature about physical education (PE) programs and their effects on preschool children's physical activity levels and motor, cognitive, and social competences. A systematic search of relevant articles was carried out using four electronic databases up until February 16, 2022. The main findings were that the inclusion of PE in early childhood is a suitable alternative for improving development in three main areas. For motor competence, specific fundamental motor skill programs are a key opportunity to improve preschool children's ability. Physical activity levels may be improved considering structured and regular PE programs (two to three classes per week). Regarding cognitive competence, PE classes are effective for improving creativity, attention, and mental abilities, and also, for reducing the symptoms of attention-deficit/hyperactivity disorder. Finally, group-based activities are the most suitable alternative for boosting social competence in preschool children with or without motor disabilities. Improving these competences and physical activity levels in preschool is necessary for the children's health and holistic development; the educators' daily decisions have key importance.