This study examined the relationship between adherence to 24 h movement guidelines (24 h MGs) and internalising and externalising behavioural problems in Chinese children aged 3–6 years, with a specific focus on the differences between weekdays and weekends. The guidelines include recommendations for physical activity (PA), screen time (ST), and sleep duration (SD). The results indicated a stronger association between adherence to these guidelines and behavioural problems on weekends compared to weekdays. Specifically, the odds of experiencing internalising problems were 1.33 higher (95% CI: 1.05–1.69) when not satisfying all three behaviours compared to not satisfying one or two. Moreover, on weekends, when ST was not fulfilled, there was a higher likelihood of externalising behaviour problems compared to when it was fulfilled (OR, 1.18, 95% CI, 1.01–1.38), and when all three behaviours were not met, the likelihood was even higher (OR, 1.50, 95% CI, 1.04–2.18). Children who met all three guidelines had fewer internalising and externalising behavioural problems, suggesting a potential beneficial effect on mental health. The study revealed that a higher adherence to these recommendations corresponded to a lower risk of mental health problems. Additionally, higher screen time was linked to an increase in externalising behavioural issues. These findings underscore the importance of adherence to 24 h MGs for optimal mental health in children. Future interventions should consider these behavioural factors and incorporate strategies to promote adherence to these guidelines, particularly on weekends.