OBJECTIVE: To evaluate cross-sectional and longitudinal associations of consumption of dairy products and physical activity (PA) with bone mineral density (BMD). DESIGN: Cohort study with children from the 2004 Pelotas (Brazil) Birth Cohort. SETTING: Pelotas, a medium-sized Brazilian city. SUBJECTS: The study started in 2004 and mothers/children were interviewed/measured periodically from birth to age 6 years. PA was measured by maternal proxy at 4 and 6 years and by accelerometry at 6 years. Consumption of dairy products was measured using 24 h food recall (at 4 years) and FFQ (at 6 years). Total-body and lumbar-spine BMD (g/cm2) were measured by dual-energy X-ray absorptiometry. RESULTS: At 6 years, BMD was measured in 3444 children and 2636 children provided data on objectively measured PA by accelerometry. Consumption of dairy products at 4 years was associated with higher lumbar-spine BMD at 6 years in boys, while current consumption was positively associated with BMD in both sexes (P < 0·001). PA assessed by maternal report at 4 and 6 years of age was associated with higher BMD at 6 years in boys. PA assessed by accelerometry was positively related to total-body and lumbar-spine BMD in boys and lumbar-spine BMD in girls. We did not find evidence for an interaction between PA and consumption of dairy products on BMD. CONCLUSIONS: We observed positive and independent longitudinal and cross-sectional associations between consumption of dairy products and PA with BMD in the total body and at the lumbar spine in young children.