Background: Behavioral factors such as physical activity, sedentary behavior and diet have previously been found to be key modifiable determinants of childhood overweight and obesity, yet require further investigation to provide an understanding of their potential influence on sleep outcomes along with the sleep-obesity nexus. Methods: The study included 2253 students (ages 8.8–13.5) from two monitoring studies across regional Victoria. Students completed a self-report electronic questionnaire on demographic characteristics, health behaviors (including sleep, physical activity, screen time and diet) and well-being, and were invited to have anthropometric measurements (height and weight) taken. Regression models were used to assess the associations between sleep, behavioral factors and BMI z-scores. Results: Screen time (particularly in bed) and sugar-sweetened beverage (SSB) consumption were shown to increase the likelihood of having more than three sleep problems, while physical activity and other dietary factors were not. After controlling for these behaviors, significance remained for having two or more than three sleep problems and an increased odds of overweight/obesity. Conclusions: This study highlights how the usage of screen devices and SSB consumption behaviors might influence children’s weight status via the sleep-obesity nexus.