This paper collects and reviews knowledge about the various possibilities, contributions and values of outdoor play in children's direct contact with the natural outdoor environment. The pedagogical application of concise opportunities encourages experiential learning enriched with the natural environment and spontaneous play that helps the child to build a whole personality, sensory integration and expand cognitive, physical and social-emotional developmental characteristics. Promoting the outdoor concept is increasingly mentioned in the upbringing and education of preschool children as a positive alternative approach to teaching, especially at a time of growing international concern about children’s alienation from nature and the enormous development of technology. This paper also summarizes the opportunities for taking risks in outdoor play, which enriches learning through challenging play, encourages children's independence and therefore achieves long-term well-being. In addition to presenting the perception of risk in children's free play among European countries, this paper also brings the latest insights related to obstacles and challenges that may limit or disable children's outdoor play. The paper brings the concluding remarks of the international action-research project Movement and Learning in the Outdoor (MLO) published at their Closing Conference in Zagreb in March 2020, which provides access to insights for designing and implementing various activities that ensure a richer outdoor environment. The aim of this paper is to raise awareness of the values of interaction with nature, to encourage sustainable development through living in natural environments and to arouse natural values with the development of empathy for nature. Increased restrictions on children's outdoor play, its control and the elimination of the possibility of potentially risky play prevent the overall development of children, making them passive, clumsy and unsuccessful in dealing with risks in later life. Return to nature is necessary for a better understanding and preservation of nature and a happier childhood marked by a more diverse play enriched with natural elements and learning in a creative, free and natural way. Examples of these activities can encourage educators to confidently provide children with opportunities for high-quality outdoor play that encompasses the opportunities gathered from this work.