Purpose: To investigate the relationships between daily step counts and physical fitness in preschool children. Methods: Preschoolers’ step counts were assessed by ActiGraph accelerometers consecutively for seven days. Physical fitness was assessed by a 20 m shuttle run test (cardiorespiratory fitness), the handgrip and standing long jump tests (musculoskeletal fitness), and the 2 × 10 m shuttle run test (speed/agility). A composite score was created from the mean of the standardized values of all physical fitness tests. Results: A total of 301 preschoolers (134 girls, mean age 57.40 ± 5.47 months; 167 boys, mean age 58.10 ± 5.34 months) were included in the final analysis. Compared with the lowest tertile, boys and girls in the highest tertile of step counts achieved high physical fitness with odds ratio (OR) being 5.39 (95% CI = 1.65–17.59) and 4.42 (95% CI = 1.30–14.99), respectively, after adjusting for confounders. Meanwhile, a relationship was observed for each 1000 steps/day increment being associated with 43% (OR = 1.43, 95% CI = 1.10–1.85) and 62% (OR = 1.62, 95% CI = 1.20–2.19) increment for high physical fitness in boys and girls, respectively. In addition, significant non-linear relationship was observed between daily steps and physical fitness in boys, which indicated that accumulated 8000 steps/day was associated with the highest ratio to achieve high physical fitness. Conclusions: Positive relationships between step counts and physical fitness were observed in preschool children, and the relationships were strongest for those who accumulated 8000 steps/day in boys. To confirm the findings in this study, well-designed and large-scale longitudinal studies are needed in the future.