The preschool period is marked by rapid growth of children's self‐regulation and related executive functions. Self‐regulation is considered an important aspect of school readiness and is related to academic and social–emotional outcomes in childhood. Pretend play, as part of the early childhood curriculum, is hypothesized to support self‐regulation. An important question concerns whether self‐regulation should be considered an individual ability or, partly, a situated skill that is influenced by aspects of the classroom context. The aims of this study were to investigate the degree to which 3‐year‐olds showed cognitive and emotional self‐regulation in a naturalistic play setting and to examine how test‐based measures of children's cool and hot executive functions and the quality of their pretend play contributed to this observed self‐regulation. The results indicated that 3‐year‐olds showed aspects of cognitive and emotional self‐regulation. Cool executive functions appeared significantly related to emotional self‐regulation, whereas hot executive functions were not significantly related to cognitive or emotional self‐regulation. The quality of pretend play was strongly associated with cognitive self‐regulation and, to a lesser extent, emotional self‐regulation. The findings of this study suggest that both preschoolers' cool executive functions and the quality of play contributed to their self‐regulation skills in naturalistic settings. Highlights Preschoolers' cognitive and emotional self‐regulation in a naturalistic play setting are two interrelated but separate constructs. Children's cognitive executive functions predict observed emotional self‐regulation during pretend play. The quality of pretend play is strongly associated with children's cognitive self‐regulation and, to a lesser extent, emotional self‐regulation.