This study (a) presented a structural model for examining how parents’ perceptions of their children’s competence, exercise benefits, exercise barriers and neighbourhood safety influenced parental support and their children’s physical activity (PA) and (b) examined the mediating effect of parental support on children’s PA. Parents of 478 children aged 6–9 years were recruited into the study. The parents were asked to complete a questionnaire assessing the aforementioned constructs and report their children’s PA outside school time over 7 days. Structural Equation Modelling (SEM) was applied to examine the relationship between parents’ perceptions and the reported PA of their children. The results revealed that (a) only parental support predicted children’s PA directly and (b) parents’ perceptions of their children’s competence and exercise benefits predicted parental support and, in turn, predicted children’s PA. PA interventions for Hong Kong children should emphasize increasing parental support in addition to enhancing parents’ confidence and ability to promote their children’s PA by providing positive feedback, acting as active role models and facilitating participation in PA. Additional studies are required to examine children’s PA from the perspective of parents.