This is the first systematic review of the literature on sleep and its relation to cognition and behaviour in preschool-aged children. In comparison with the literature focused on school-aged children, knowledge involving preschoolers is rather sparse. A total of 26 studies was included in this review, which revealed a high degree of heterogeneity regarding the type and means of measuring sleep variables and behavioural and cognitive variables, as well as the statistical methods employed. Amongst the 13 articles with the largest sample sizes (top 50% of the included studies, 12 different populations), 12 found that a higher quantity or quality of sleep was associated with better behavioural and/or cognitive outcomes. Results point to an association between sleep, behaviour and cognition as early as preschool years, but the strengths of associations reported in the articles were relatively small. Studies with a smaller sample size were less concordant. It is consistent with our findings that the strengths of association are small, and thus require large sample sizes to ensure statistical detection power. Different aspects of sleep were not associated with all cognitive or behavioural features in the same way, which underscores the need for specific measures rather than general ones such as 'sleep problems' or 'behaviour problems' to be able to decipher the relationships. There is also a need for large longitudinal studies using objective measures and accounting for confounding factors. The child's genotype has recently been shown to have a moderating role in the association between sleep and behaviour, and should be further explored.