This study describes the physical activity of primary school children according to sociodemographic characteristics and activity domains. Using the Malaysian South East Asian Nutrition Surveys data, 1702 children aged 7 to 12 years were included in the analysis. Physical activity was reported as a total score and categorized into low, medium, and high levels based on Physical Activity Questionnaire for Older Children. Higher overall activity scores were found in boys, younger age, non-Chinese ethnicity, and normal body mass index category. Sex, age, and ethnicity differences were found in structured or organized, physical education, and outside-of-school domain scores. Transport-related scores differed by age group, ethnicity, household income, and residential areas but not among the three physical activity levels. Participation of girls, Chinese, and older children were low in overall and almost all activity domains. Sociodemographic characteristics are important factors to consider in increasing the different domains of physical activity among Malaysian children.