It is argued that self‐regulation skill is necessary both for displaying constructive behaviour and for controlling negative social behaviour, and self‐regulation might affect social behaviours by increasing the ability to understand others' minds. In this research, in order to examine different aspects of self‐regulation and their similarities and differences in terms of their relations with other constructs, we focused on both effortful control and executive function and investigated their concurrent associations with socially competent and aggressive behaviours and theory of mind (ToM). The participants were 212 preschool children in Turkey. We assessed executive functions with behavioural measures and effortful control with mother reports. We used six tasks for comprehensive assessment of mental state understanding. Children's social competency and aggressive behaviour were assessed with teacher reports. Structural equation modelling results showed that when age and receptive language were controlled, ToM was significantly associated with social competence but not aggressive behaviour. Both effortful control and executive functions were significantly related to social competency and ToM; the pathways from each self‐regulation skill were similar in strength. ToM was linked with social competence, but it did not have a mediating role in the relations of self‐regulation with social competence. The findings highlighted the importance of self‐regulation for socio‐cognitive and social development in the preschool years. Copyright © 2016 John Wiley & Sons, Ltd.