Introduction: Sleep is considered an important health indicator and plays a key role in brain development and plasticity. Objective: To ascertain whether there is a relationship between sleep quality and mental health indicators and whether organized physical activity (PA) or cardiorespiratory fitness (CRF) act as moderators of this association. Methods: This is a cross-sectional study with a quantitative approach. The sample consisted of 226 students between six and 11 years of age, male and female, in the early years of elementary education at a public school in Porto Alegre, Brazil, which was selected for convenience. CRF was measured by running test and six-minute walk. Sleep quality and organized physical activity outside of school were verified through an anamnesis, socioeconomic status through an adaptation of the ABEP (Brazilian Association of Research Companies) questionnaire, and mental health indicators with the assistance of the Strengths and Difficulties Questionnaire, all answered by parents. Frequencies, means, standard deviations and generalized linear models were used for the data analysis, while a 95% confidence interval was used for the analyses. Results: Sleep quality was associated with total difficulties (β=7.659, p<0.001), emotional symptoms (β= 1.754; p=0.001), hyperactivity/inattentiveness (β=3.054, p <0.001), conduct problems (β=1.619, p<0.001) and peer relationship problems (β=1.231; p=0.007) in boys. In girls it was related to total difficulties (β=3.421; p=0.006), and conduct problems (β=1.235; p=0.003). However, the interactions were not significant. Conclusion: Although they occur independently, stress is placed on the importance of sleeping well, engaging in organized PA and having good CRF levels for the improvement and maintenance of mental health. Level of evidence III; Case-control study.