Background: Early childhood has been identified as a crucial period in which children develop physical activity preferences and behaviors. Both the knowledge of and preferences for physical activity are key proximal indicators of activity choices in children. Thus, accurate data collection tools are required to measure these variables. This review evaluates the data collection techniques that have been utilised to assess preschool children’s knowledge of and preference for physical activity, and examines the validity and reliability of existing techniques. Methods: A systematic search for relevant studies published from 1980 through to December 2017 was conducted via ProQuest, CINAHL, Embase, Scopus, ERIC, PubMed, MEDLINE, and ScienceDirect. Results: Fourteen studies were eligible for inclusion in the review. The identified studies employed a limited but disparate range of techniques to assess children’s physical activity knowledge and preferences. Findings reveal that four techniques were consistently used across the reviewed studies, including: interviews, structured play-based activities, questionnaires, and observations. Only four out of 14 included studies reported the assessment of the validity of the data collection tool used, and six reported testing the measures for at least one type of reliability. Conclusion: There is a need for validated and reliable measures to assess children’s knowledge of and preference for physical activity. Greater consideration is required to align data collection techniques with the characteristics, needs and abilities of this study population.