My DS1 does TaekwonDo, he is 8yrs old. There is Pee Wees that start at around 4yrs old. It's a big group as the Taekwondo Master is very strict and the kids follow instructions and love the organisation of how the group runs.
I was going to put my DS2 in, he has just turned 5, we had TT training issues when he was 4yrs so I am going to start him this term.
Gym Monkeys is another good one for little one's. It's a little kids gymnastics, very popular here and teaches them balance.