Children’s motor development is socially unevenly distributed despite many municipal exercise programs (EXP). It has not been sufficiently investigated whether and how they appeal to children from different social backgrounds. This study investigates the use of municipal EXP in preschool age and the association between participation and motor development considering social circumstances. In school entry health examinations, parents were asked about participating in various EXP (response = 65.5%; n = 6480). Motor development, i.e., body coordination and visual-motor coordination, were assessed by a social pediatric development screening, and social circumstances by migration background (MB) and parental education (PE). Poisson regression estimated adjusted Incidence Rate Ratios (IRR; 95% confidence interval, 95%—CI) for relationships between social circumstances and participation in programs and participation and body coordination/visual-motor coordination. Children with MB (IRR 0.73; 95%—CI 0.71–0.75) and low PE (IRR 0.45; 95%—CI 0.40–0.50) used EXP less often. Children participating less often have a finding in body- (IRR 0.76; 95%-CI 0.63–0.90) and visual-motor coordination (IRR 0.47; 95%—CI 0.35–0.62). Significant effects were found for children with and without MB and higher PE. Municipalities should make EXP more attractive for families with MB and low PE.