This study aimed to investigate prematurity as a risk factor for sensory processing disorders, using the Italian Version of Sensory Processing and Self-Regulation Checklist (SPSRC-IT), based on a sample of healthy Italian children born preterm in comparison with a sample of typical full-term children. Two groups of caregivers of Italian healthy preschooler children were recruited. The first group comprised 37 caregivers of full-term children (FT), while the second group consisted of 37 caregivers of preterm children (PT) (gestational age < 37 weeks). Significant differences between the groups in several subsections and factors of the SPSRC-IT were found, specifically in the Physiological Conditions section, in the Gustatory and Olfactory Sense section, in the Vestibular Sense section, and in the Proprioceptive Sense section, with lower scores in the PT group. Moreover, children born at a lower gestational age or with lower weights had a higher risk of dysfunctions in processing gustatory and olfactory, vestibular, and proprioceptive stimuli. In conclusion, the SPSRC-IT suggested a potential link between prematurity and challenges in the development of sensory processing and self-regulation skills, especially in children with a very low birth weight and very low gestational age.