The need‐to‐belong theory stipulates that social exclusion (i.e., being rejected by peers) impairs the ability to self‐regulate, and experimental studies with adults support this contention, at least on a short‐term basis. Few studies have investigated whether social exclusion affects the development of self‐regulation of children in a more enduring manner. By using data from a community sample of 762 children, we investigated reciprocal relations between social exclusion and self‐regulation from age 4 to age 6. Social exclusion was reported by teachers, whereas self‐regulation was reported by parents. Autoregressive latent cross‐lagged analyses showed that social exclusion predicted impaired development of dispositional self‐regulation and, reciprocally, that poor self‐regulation predicted enhanced social exclusion. In other words, social exclusion undermines children's development of self‐regulation, whereas poor self‐regulation increases the likelihood of exclusion. Results illuminate the applied relevance of the need‐to‐belong theory.