The neighborhood is a critical setting that broadly affects health, although specific mechanisms that link relationships between the neighborhood environment and indicators of health are still emerging. Children playing is a simple, but underexplored marker that may explain how the neighborhood built environment is related to a psychological sense of community. A telephone survey was conducted among parents with children in the Greater Phoenix Metropolitan area (n = 251) to gather information on perceptions of the built environment, parent attitudes and physical activity behaviors, children's play, and sense of community in the neighborhood. Results of a structural equation modeling analysis (SEM) indicated that children playing in the neighborhood partially explained the relationship between perceptions of the built environment and sense of community (β = 0.031, CI = 0.007–0.067). Parent perceptions of the built environment were positively associated with both children playing (β = 0.229, CI = 0.120–0.341) and sense of community (β = 0.360, CI = 0.220–0.505), and children playing (β = 0.135, CI = 0.027–0.243) and parent attitudes (β = 0.440, CI = 0.319–0.546) were positively related to sense of community. As planners and community advocates consider strategies to build a sense of community within neighborhoods, the importance of favorable environmental conditions that facilitate children's play should be considered.