Background: In Europe, although the prevalence of childhood obesity seems to be plateauing in some countries, progress on tackling this important public health issue remains slow and inconsistent. Breastfeeding has been described as a protective factor, and the more exclusively and the longer children are breastfed, the greater their protection from obesity. Birth weight has been shown to have a positive association with later risk for obesity. Objectives: It was the aim of this paper to investigate the association of early-life factors, namely breastfeeding, exclusive breastfeeding and birth weight, with obesity among children. Method: Data from 22 participating countries in the WHO European COSI study (round 4: 2015/2017) were collected using cross-sectional, nationally representative samples of 6- to 9-year-olds (n = 100,583). The children’s standardized weight and height measurements followed a common WHO protocol. Information on the children’s birth weight and breastfeeding practice and duration was collected through a family record form. A multivariate multilevel logistic regression analysis regarding breastfeeding practice (both general and exclusive) and characteristics at birth was performed. Results: The highest prevalence rates of obesity were observed in Spain (17.7%), Malta (17.2%) and Italy (16.8%). A wide between-country disparity in breastfeeding prevalence was found. Tajikistan had the highest percentage of children that were breastfed for ≥6 months (94.4%) and exclusively breastfed for ≥6 months (73.3%). In France, Ireland and Malta, only around 1 in 4 children was breastfed for ≥6 months. Italy and Malta showed the highest prevalence of obesity among children who have never been breastfed (21.2%), followed by Spain (21.0%). The pooled analysis showed that, compared to children who were breastfed for at least 6 months, the odds of being obese were higher among children never breastfed or breastfed for a shorter period, both in case of general (adjusted odds ratio [adjOR] [95% CI] 1.22 [1.16–1.28] and 1.12 [1.07–1.16], respectively) and exclusive breastfeeding (adjOR [95% CI] 1.25 [1.17–1.36] and 1.05 [0.99–1.12], respectively). Higher birth weight was associated with a higher risk of being overweight, which was reported in 11 out of the 22 countries. Bulgaria, Croatia, France, Italy, Poland and Romania showed that children who were preterm at birth had higher odds of being obese, compared to children who were full-term babies. Conclusion: The present work confirms the beneficial effect of breastfeeding against obesity, which was highly increased if children had never been breastfed or had been breastfed for a shorter period. Nevertheless, adoption of exclusive breastfeeding is below global recommendations and far from the target endorsed by the WHO Member States at the World Health Assembly Global Targets for Nutrition of increasing the prevalence of exclusive breastfeeding in the first 6 months up to at least 50% by 2025.