Children with poor emotion knowledge (EK) skills are at risk for externalizing problems; less is known about early internalizing behavior. We examined multiple facets of EK and social‐emotional experiences relevant for internalizing difficulties, including loneliness, victimization, and peer rejection, in Head Start preschoolers (N = 134; M = 60 months). Results based on multiple informants suggest that facets of EK are differentially related to negative social‐emotional experiences and internalizing behavior and that sex plays a moderating role. Behavioral EK was associated with self‐reported loneliness, victimization/rejection, and parent‐reported internalizing symptoms. Emotion recognition and expressive EK were related to self‐reported loneliness, and emotion situation knowledge was related to parent‐reported internalizing symptoms and negative peer nominations. Sex moderated many of these associations, suggesting that EK may operate differently for girls vs. boys in the preschool social context. Results are discussed with regard to the role of EK for social development and intervention implications.