The objective of this work was to examine whether the practice of physical activity shared by grandparents and grandchildren is associated with increased psychological and physical well-being in childhood. In this research, participants were 1080 children aged 6 to 12 (53.61% female and 46.38% male) from northern Spain. Concerning leisure, 32.4% of the children practiced physical leisure activity with their grandparents and considered that sharing leisure with their grandparents contributed to their psychological and physical well-being. The practice of physical activity shared by grandparents and grandchildren was positively associated with the grandchildren’s greater perception of physical and psychological well-being.  Social and family intervention policies should be aimed at fostering intergenerational settings for family physical activity because of their contribution to children's physical-sports adherence and to the increase in children’s physical and psychological well-being.