(1) Background: The aim was to examine the non-linear and sex-specific outcomes of maternal pre-pregnancy BMI on emotional and behavioral development of preschool children; (2) Methods: This study was based on the China-Anhui Birth Cohort (C-ABCS), including 3648 mother–child pairs. Maternal pre-pregnancy BMI was calculated from the maternal pre-pregnancy height and weight measured at the first antenatal checkup. Main caregivers completed the Strengths and Difficulties Questionnaire (SDQ) to assess children’s preschool emotional and behavioral development. A restricted cubic spline model was drawn using Stata version 15.1 to analyze the association between maternal pre-pregnancy BMI and preschoolers’ SDQ scores by sex; (3) Results: Among boys, maternal pre-pregnancy underweight was associated with the increased risk of conduct problems and pro-social behaviors, and pre-pregnancy overweight/obesity related with the increased risk of peer problems. Interestingly, when maternal pre-pregnancy BMI was between 18.50 kg/m2 and 18.67 kg/m2, boys had the increased risk of conduct problems. When pre-pregnancy BMI was between 18.50 kg/m2 and 19.57 kg/m2, boys had the increased risk of pro-social problems. No significant associations were observed; (4) Conclusions: A non-linear effect of maternal pre-pregnancy BMI on emotional and behavioral development has been found in preschool boys. In particular, pre-pregnancy normal weight may still affect boys’ emotional and behavioral development.