Children’s health includes physiological, psychological, cognitive, behavioral and other aspects of health. Playing in nature has been demonstrated to have irreplaceable benefits for children’s health. However, the urban built-up environment devours the natural play space and aggravates children’s problems. Since the 1990s, people have gradually realized the importance of nature and play, thus began to explore the natural children’s playground. The COVID-19 pandemic also makes people pay greater attention to the natural and healthy living environment. The urban park is an important place for children to play freely. It is of great significance to explore the natural design of its playground. Starting from the connotation and function of nature, games and playgrounds, this paper analyzes children’s preference for playgrounds. In addition, combined with the previous researches, five thoughts on the planning and design of natural playgrounds in urban parks are summarized: (1) The natural environment should be accessible and approachable; (2) The original natural objects and the natural products are suitable to coexist; (3) The undulating terrain can be combined with the flat grassland; (4) The dynamic and diversity of natural elements is very important; (5) The balance between safety and adventure is also needed. Finally, it is proposed that children’s choice priority and use characteristics of various play elements can be further studied to guide planning and design more accurately.