Children born preterm display altered sensory processing, which may manifest as hyper‐ and/or hypo‐sensitivity to sensory information. In this vulnerable population, exposure to neonatal pain‐related stress is associated with altered stress regulation, as indexed by alterations in cortisol levels. It is unknown whether sensory processing behaviors are also affected by early life adversity, and whether dysregulated cortisol is related to sensory processing problems in preterm children. We examined relationships between neonatal pain‐related stress, sensory processing profiles and cortisol levels at age 4 years, and whether pathways were sex‐specific. In a longitudinal prospective cohort study, N = 146 infants born 24–32 weeks gestational age were recruited from BC Women's Hospital, Vancouver, BC, Canada; neonatal factors were collected from daily chart review. At age 4 years, saliva to assay cortisol was collected three times across cognitive assessment (pre‐test, during, end) and parents completed the Short Sensory Profile questionnaire. Using generalized linear modeling, independent of other neonatal factors, higher number of invasive procedures (pain/stress) was associated with more sensory processing problems (total, hypo‐ and hyper‐sensitivity) for girls only. After accounting for neonatal factors, greater cortisol output across the assessment was associated with more total sensory processing problems in girls only, and hypersensitivity to sensory input in both boys and girls. Findings suggest that in children born very preterm, how a child responds to sensory input and cortisol reactivity to stress are related but may have different precursors. Girls may be somewhat more susceptible to neonatal pain‐related stress exposure in relation to sensory processing at preschool age.