Background Perceived school self-efficacy (SE) is an important variable in students’ activities as it affects their motivation and learning. Further, self-efficacy might represent a good predictor of performance, persistence and perseverance. Motor skills and other physical health determinants are extensively debated and linked to cognitive function in children of developmental age. However, inconclusive evidence supports a definitive relationship between perceived school SE and motor skills among schoolchildren. We conducted a cross-sectional study on 6–11-year-old schoolchildren to evaluate the extent by which perceived school SE and physical health determinants were related. Methods A SE questionnaire and motor performance battery tests were administered to primary school pupils recruited from 154 sampled schools of northwest Italy. Perceived SE at school was assessed via 12 items from the Caprara’s questionnaire. Motor performance scores were obtained from motor skill tests: 4 × 10 m shuttle run test, SRT; standing broad jump, SBJ; six-minute walking test, 6MWT. Results A total of 3,962 children (M = 2,019; F = 1943) were studied and 68% were normal weight. Overall, a 58% of the sample perceived a high SE, while, as to gender differences, a greater percentage of females perceived high levels of school SE with respect to any other level (χ2 = 38.93, p < 0.0001). Results from multinomial logistic regression analysis revealed that: (i) females perceived higher SE compared to males; (ii) children who performed better in SRT and 6MWT showed higher levels of perceived school SE; (iii) no significant effect was registered for the body weight. Alternative strategies are encouraged to enhance SE through physical education: structured interventions might enhance both complex motor skills and high-order cognitive skills, like SE, in young children.