Background: High parental self-efficacy (PSE) has been associated with healthy diets and higher levels of physical activity (PA) in children; however, data on PSE in relation to body weight and body composition are scarce. The objective of this study was to investigate associations of PSE with measures of diet, PA, body composition, and physical fitness in early childhood. Method: We used baseline data from the MINISTOP trial in healthy Swedish children (n = 301; 4.5 ± 0.15 years). PSE was assessed using a questionnaire, dietary data were collected using a mobile technology-assisted methodology, and PA was obtained (sedentary behavior and moderate-to-vigorous) by accelerometry. Body composition was measured using the pediatric option for BodPod and cardiorespiratory fitness by the 20 m shuttle run. Linear regression was conducted to evaluate cross-sectional associations of the outcomes in relation to total PSE and scores computed for the individual PSE factors: (1) diet, (2) limit setting of unhealthful behaviors, and (3) PA. Results: Higher scores of total PSE and the diet factor were associated with higher fruit intake (ß = 0.82 g/point and 1.99 g/point; p = 0.014 and 0.009, respectively) and lower consumption of unhealthy snacks (ß = -0.42 g/point and -0.89 g/point; p = 0.012 and 0.020, respectively) after adjustment for parental body mass index and education, respondent, and child's sex and age. No associations were observed between PSE and PA, body composition, or cardiorespiratory fitness. Conclusions: Our study noted that PSE should be considered in conjunction with other strategies for a sustainable impact on childhood obesity.