C.A.
My daughter and I love the outdoors. We would often hike along the Salt River and look for crawdads and fish. Drive North on Ellsworth untill you hit the Salt River Tubing area. There are places west and east from there. If you keep traveling east you will also hit Saguaro Lake.
The Phoenix Zoo also has a nice shaddy area for the kids to play in. They also have water sprinklers. I would recomend getting a yearly membership to make that affordable.
The Paralita Trail is also a nice hike. East of Gold cannon on US 60. Its a dirt road for 7 miles, but it's so beautiful. After a rain you can hike on the first trail head to the left and hit a small waterfall after only about 10 minutes. It's so worth it.