Actual and perceived physical abilities are important correlates of physical activity (PA) and fitness, but little research has explored these relationships over time in obese children. This study was designed: (a) to assess the feasibility of a multi-modal training programme promoting changes in PA, fundamental motor skills and real and perceived physical abilities of obese children; and (b) to explore cross-sectional and longitudinal relationships between real and perceived physical competence in boys and girls. Forty-one participants (9.2 ± 1.2 years) were assessed before and after an 8-month intervention with respect to body composition, physical fitness, self-reported PA and perceived physical ability. After treatment, obese children reported improvements in the body mass index, PA levels, gross motor performance and actual and perceived physical abilities. Real and perceived physical competence was correlated in boys, but not in girls. Results indicate that a multi-modal programme focused on actual and perceived physical competence as associated with the gradual increase in the volume of activity might be an effective strategy to improve adherence of the participants and to increase the lifelong exercise skills of obese children.