Physical activity and exercise have a lot of benefits for children. The benefits include physical, cognitive, and socio-affective ways of well-being. Nowadays, a sufficient amount of scientific evidence confirm the existence of a strong relation between physical activity and various dimensions of mental health. The purpose of this thesis was to analyse and demonstrate the connection between physical activity and exercise with the cognitive abilities of preschool children through the review of latest literature. The fact is that the preschool period, which is the basis on which the future development of intellectual abilities of each child will depend, is still an insufficiently researched area in the Republic of Croatia. For this reason, most of the research presented in this thesis are the work of authors from foreign countries. For the purpose of writing this thesis, a targeted search of the literature was conducted in various databases (online databases were Google Scholar, PubMed, Research Gate, ScienceDirect). Some further literature search was conducted based on the search of keywords related to the topic found in the publicly available papers in the mentioned databases. Some papers in the existing bibliography were also explored. This thesis, in addition to describe the terms physical activity and physical exercise, describes the cognitive development of preschool children, explains the connection between these two areas, states the importance of physical skills with preschool children, describes the method of Brain Gym® activities to improve cognitive functions of preschool and early school-age children. At the end, the most interesting research papers on the impact of physical activity and exercise are presented and divided into chapters: the impact of physical activity on children with ADHD, physical activity as a support in learning school subjects such as Geography, Foreign languages and Arithmetics, and finally, the impact on cognitive abilities of overweight early school-age children. It is suggested to conduct a similar research and testing of preschool children in kindergartens in the Republic of Croatia as those presented in this thesis, as the number of researches on this topic is limited.