The aim of this cross-sectional study was to investigate psychological differences between Parkour at non-competitive level and Artistic Gymnastics at competitive level in the pre-adolescent stage. Specifically, psychological aspects strictly related to sporting activities, such as motivation, anxiety and self-confidence, life satisfaction, and well-being were analyzed. 86 pre-adolescents participated in the study (Parkour Group—PG, n = 43; Artistic Gymnastic Group—AG, n = 43) aged between 9 and 14 years (mean age 11.5 ± 1.6 years, 62% of female), who completed a self-report questionnaire consisting of following measures: Sport Motivation Scale (SMS-28), Competitive State Anxiety Inventory 2 (CSAI-2), Multidimensional Students’ Life Satisfaction Scale (MSLSS), and Psychological Well-Being Scales (PWB). Results showed that pre-adolescents in the AG have higher values in intrinsic motivation for execution than their peers in the PG. This latter also have lower levels of cognitive and somatic anxiety and greater self-confidence than the AG group. In addition, the friend’s dimension concerning life satisfaction has a higher score in the PG than in the AG. Finally, no differences were found regarding well-being between the two pre-adolescent groups.