(1) Background: Childhood obesity is an important public health problem. Children with overweight or obesity often tend to show the pediatric inactivity triad components; these involve exercise deficit disorder, pediatric dynapenia, and physical illiteracy. The aim of the study was to examine the influence of an active video games (AVG) intervention combined with multicomponent exercise on muscular fitness, physical activity (PA), and motor skills in children with overweight or obesity. (2) Methods: A total of 29 (13 girls) children (10.07 ± 0.84 years) with overweight or obesity were randomly allocated in the intervention group (AVG group; n = 21) or in the control group (CG; n = 8). The intervention group performed a 5-month AVG training using the Xbox 360® with the Kinect, the Nintendo Wii®, dance mats, and the BKOOL® interactive cycling simulator, combined with multicomponent exercise, performing three sessions per week. The control group continued their daily activities without modification. Weight, PA using accelerometers, and motor competence using the Test of Gross Motor Development 3rd edition were measured. Muscular fitness was evaluated through the Counter Movement Jump height, maximal isometric strength of knee extension and handgrip strength, and lean mass using Dual-energy X-ray Absorptiometry. Mann−Whitney U and Wilcoxon signed rank tests were performed. The biserial correlation coefficients (r) were calculated. Spearman’s correlation coefficients among PA, muscular fitness, and motor competence variables were also calculated. (3) Results: The AVG group significantly increased their knee extension maximal isometric strength (4.22 kg; p < 0.01), handgrip strength (1.93 kg; p < 0.01), and jump height (1.60 cm; p < 0.01), while the control group only increased the knee extension maximal isometric strength (3.15 kg; p < 0.01). The AVG group improved motor competence and light physical activity (p < 0.05) and decreased sedentary time (p < 0.05). Lean mass improved in both AVG group and CG (p < 0.05). Lastly, the percentage of improvement of motor skills positively correlated with the percentage of improvement in vigorous PA (r = 0.673; p = 0.003) and the percentage of improvement in CMJ (r = 0.466; p = 0.039). (4) Conclusions: A 5-month intervention combining AVG with multicomponent training seems to have positive effects on muscle fitness, motor competence, and PA in children with overweight or obesity.