Background: Physical activity health benefits are widely known. However, the association between physical activity, physical fitness, executive function, and academic performance need further investigation. Additionally, one of the literature gaps reveals scarce and mixed findings on what mediators of physical activity may affect academic achievement. Purpose: This investigation aims to provide knowledge about the mediation role of physical fitness and executive function in the association of physical activity with academic achievement in a cohort of Spanish schoolchildren using a structural equation modelling approach. Methods: The data for this cross-sectional study were collected from a convenience sample of children from Spain (Balearic Islands) aged between 9 and 13 years. Physical activity levels were self-reported with the Physical Activity Questionnaire for Children; physical fitness was assessed using the International Fitness Scale; executive function was assessed with the Trail Making Test, and children’s achievements were collected from the school records. Structural equation modelling was used to explore the relationship between physical activity, physical fitness, executive function, and academic achievement. Findings: Statistically significant positive direct associations were observed between physical activity and physical fitness (β = 0.46, 95% CI [0.29, 0.64]), physical fitness and executive function (β = 0.28, 95% CI [0.04, 0.52]), and executive function and academic achievement (β = 0.46, 95% CI [0.28, 0.65]), while adjusting for the confounding effects of sex and body mass index. Furthermore, indirect associations were observed between physical activity and executive function mediated by physical fitness (β = 0.13, bias-corrected 95% CI [0.02, 0.31]) and between physical fitness and academic achievement through executive function (β = 0.13, bias-corrected 95% CI [0.03, 0.32]). Conclusions: This investigation adds to the literature with evidence supporting the idea that regular PA leads to improvements in physical fitness and may support cognitive skills and academic performance in children.