"Try to have fun. Try to breathe a little bit," Mrs. Obama said. "But also win, right?"
The first lady had a busy itinerary Friday, including promoting healthy living with more than 1,000 children, a reception hosted by Queen Elizabeth II at Buckingham Palace and then the opening ceremony at Olympic Stadium.
She told the U.S. athletes that some of her fondest memories in sports stemmed from watching the Olympics on television. She also shared the story of her father, who was athletic but contracted multiple sclerosis "in the prime of his life."
"He retained his love of sports, truly," Mrs. Obama told the athletes. "And the Olympics was a special time for him to watch amazing athletes of all abilities compete on the world stage."
Later, the first lady met with hundreds of children on the lavish grounds of Winfield House, the official residence of the U.S. ambassador in London.
Soccer hero David Beckham appeared alongside the first lady, Olympic gold-medal sprinter Carl Lewis signed autographs, and ex-NBA star Dikembe Mutombo offered the kids — most of them from U.S. military families — tips on basketball.
"I'm so excited," she said, after jogging to the stage as a marching band played the University of Florida fight song. "I am thrilled to be here on London for the 2012 Olympic games. I am proud to be leading the U.S. delegation to the opening ceremony."
Obama, who later tried out a host of sports alongside the children, offered a tribute to military families who had been invited to take part in the event.
"The military families who are joining us from U.S. bases that are stationed here in the U.K., we are so grateful for your service because you all sacrifice so much — you as kids, your mums, your dads," said the First Lady. "You sacrifice so much for this country and we are so very proud of you."
A former Manchester United goalkeeper and members of the U.S. field hockey and tennis squads also ran training sessions for the children, aged nine to 14. The event was part of the first lady's "Let's Move!" campaign, aimed at tackling childhood obesity and promoting sports.
Student Ethen Duval, originally from Oklahoma, sharpened his skills at the soccer camp.
"I'm looking forward to watching the Olympic soccer," said the 10-year-old, who lives at Lakenheath U.S. Air Force Base in Britain. "I can't wait to watch things with my Dad and see the look on his face when something exciting happens and he says 'Wow!'"
The 46-year-old Mutombo towered above his young pupils, who were eager for the Olympics to begin.
"They are mostly excited about the basketball," he joked.
Among the Olympians attending were two-time fencing gold medalist Mariel Zagunis, chosen by U.S. athletes to carry the nation's flag into the opening ceremony, along with the U.S. women's basketball team and members of the track and field squad.
Mrs. Obama appeared with several past U.S. Olympic and Paralympic standouts, including Brandi Chastain, Gabriel Diaz de Leon, Grant Hill, Summer Sanders and Dominique Dawes.
"Being here is otherworldly for me," the first lady said. "I am still so inspired."
On Saturday, Mrs. Obama will meet with Samantha Cameron, the wife of British Prime Minister David Cameron, before watching U.S. athletes on the first full day of Olympic competition. She will see more events Sunday before departing.
Other first ladies who have led recent U.S. Olympic delegations include Hillary Clinton at Lillehammer in 1994 and Laura Bush at Turin in 2006.