I'm assuming you know it may be 115 degrees while you are here, and for most people, that means any outdoor activities are done first thing in the morning and after 5:00. The middle of the day is generally for indoor-air conditioned activities.
Having said that, the Native American ruins around Sedona are fascinating, and the children should enjoy them.
If you are willing to travel farther afield, you might consider Karchner Caverns, about 40 miles from Tucson (and Tucson is about an hour and a half to two hours from Phoenix). Karchner is very different from most caves: 1. it is perfectly preserved, complete with airlocks and visitors are strictly controlled: access by park vehicles, small groups, etc. 2. it is a wet, growing cave 3. it has an active bat colony 4. it has an interesting history of discovery and preservation 5. it is a warm cave
Tucson also has the unique and wonderful Arizona-Sonora Desert Museum
2021 N. Kinney Rd., Tucson
Zoos - Game Park
520-883-1380
Arizona-Sonora Desert MuseumThe Arizona-Sonora Desert Museum is a world-renowned zoo, natural history museum and botanical garden, all in one place. Exhibits re-create the natural landscape of the Sonoran Desert Region so realistically you find yourself eye-to-eye with mountain lions, prairie dogs, Gila monsters, and more.
The first time we went, I thought it would be a quick stop to see a few cacti--I was sooooo wrong. It is a wonderful experience.
Another plus to Tucson is that it is (slightly, maybe 10 degrees) cooler than Phoenix.
Anyway, not knowing if you are committed to Phoenix or if there is room for a few nights in Tucson, I thought I'd include Tucson information.