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Abstract Background/Objectives The aim of this study was to examine the effect of physical activity (PA) and sedentary behaviour (SB) on body mass index (BMI) and fat mass index (FMI) in children over the course of five years and identify potential bi-directional associations. Subjects/Methods Data were drawn from the EU Childhood Obesity Project (CHOP). PA and SB were measured with the SenseWear Armband 2 at the ages of 6 (T1), 8 (T2) and 11 (T3) years. Height and weight were measured and BMI was calculated at each time point, resulting in 1254 complete observations from 600 children. Bio impedance analysis was used to measure body fat mass and eventually calculate FMI. To examine the longitudinal association between PA/SB and BMI/FMI as well as to account for repeated measure on these children, mixed model analysis was employed. Results Higher levels of total PA and moderate-to-vigorous PA (MVPA) were associated with lower BMI and FMI and higher SB with higher BMI and FMI over the five year period. When looking at the age dependent effects, negative associations of MVPA (βMVPA x age: − 0.05, 95% confidence interval (CI): − 0.09 – -0.01, p = 0.007) and positive associations of SB (βSB x age: 0.04, 95% CI: 0.02–0.06, p