Objective: To explore the relationship between the Conners’ Kiddie Continuous Performance Test (K-CPT) performance and parent-report measures of child behavior and executive functioning, and clarify the role of sex in K-CPT performance in preschoolers. Method: Mothers and children recruited to the Health Outcomes and Measures of the Environment Study with complete 5-year assessment data relevant to the analyses were included (N = 127). We examined the association between K-CPT scores and Behavior Assessment System for Children–Second Edition (BASC-2) and Behavior Rating Inventory of Executive Function (BRIEF) scores, with covariate adjustment. Results: We found no significant associations between K-CPT, BASC-2, and BRIEF scores in the full sample. In sex-stratified analyses, we found unusually fast reaction time on K-CPT was related to executive control difficulties in girls, whereas unusually slow reaction time was related to the same difficulties in boys. Omission errors were associated with executive difficulties only in boys. Conclusion: The K-CPT may prove to be a useful indicator for early onset of executive control difficulties in preschool-aged children.