Physical exercises can improve individuals' physical health and cognition, but the internal influence path is unclear. This study aims to examine the influence of pom cheerleading training on physical fitness and executive function of preschool children and explore the relationship between sports training, physical fitness, and executive function. We selected seventy-one preschool children and divided them into the experimental group (n = 36) and the control group (n = 35). The experimental group kept a 12-week pom cheerleading training, and the exercises of the control group remained normal. Children's physical fitness and executive function were tested, in one week before and after the experiment, respectively. Results of repeated measurements analysis of variance and structural equation model test showed: (1) after 12-week pom cheerleading training, in terms of physical fitness, the experimental group has a significant improvement over the control group on agility and speed; in terms of executive function, the inhibitory control and working memory of the experimental group were significantly enhanced over the control group. (2) Speed quality plays a partial mediating role between pom cheerleading training and inhibitory control; agility plays a major mediating role between pom cheerleading training and working memory. It is concluded that physical exercise can directly improve preschool children's executive function, and indirectly enhance executive function mediated by physical fitness. Furthermore, structured and systematic physical education should be adopted for preschool children to cultivate their interest in sports and enhance their cognition.