We investigated the associations of different sedentary behaviors (SB) with gray matter volume and we tested whether SB related to gray matter volume is associated with intelligence. Methods: 99 children with overweight or obesity aged 8–11 years participated in this cross-sectional study. SB was measured using the Youth Activity Profile-Spain questionnaire. T1-weighted images were acquired with a 3.0 T Magnetom Tim Trio system. Intelligence was assessed with the Kaufman Brief Test. Whole-brain voxel-wise multiple regression models were used to test the associations of each SB with gray matter volume. Results: Watching TV was associated with lower gray matter volume in six brain regions (β ranging −0.314 to −0.489 and cluster size 106 to 323 voxels; p < 0.001), playing video games in three brain regions (β ranging −0.391 to −0.359, and cluster size 96 to 461 voxels; p < 0.001) and total sedentary time in two brain regions (β ranging −0.341 to −0.352, and cluster size 897 to 2455 voxels; p < 0.001). No brain regions showed a significant positive association (all p > 0.05). Two brain regions were related, or borderline related, to intelligence. Conclusions: SB could have the potential to negatively influence brain structure and, in turn, intelligence in children with overweight/obesity.