Depression is an incapacitating disorder, which is often overlooked in preschool children. The aim of this study was to analyse the prevalence of depressive symptoms and co-occurring risk factors in a large, population-based sample of preschool children. All 653 children (of a total of 731) in a defined geographical area were assessed during the school-entry exam by community care paediatricians. In addition to clinical appraisal, parents filled out the Preschool Feelings Checklist, a 16-item screening instrument with good psychometric properties. The mean age was 6.2 years (range 5.0–7.6 years) and the sample included 344 boys and 305 girls. The prevalence of depressive symptoms of clinical relevance (total score ≥3) was 5.7 % (37). There were no differences between boys and girls, and between younger (<6 years) and older (>6 years) children. Depressive symptoms were associated with parental separation and comorbid behavioural problems, but especially with developmental motor and speech problems and disorders. Migration to Germany had no influence. Depressive symptoms are common in preschool children and associated with developmental problems. Depression should be considered in children with speech and motor problems who are at special risk. Early detection and treatment are recommended.