The moral self-concept (MSC) is an early indicator of how children view themselves as moral agents. It has been proposed that an important feature of an established self-concept (SC) is sufficient coherency in how one views oneself. Furthermore, the MSC is expected to develop into a multidimensional, hierarchical construct which is stable over time. Investigating these theoretical hypotheses, this study aims to take three aspects into account to get a deeper insight into when and how the MSC first emerges: emergence of coherency, stability, and a differentiated structure. Preschoolers were presented with a puppet-interview at two measurement points (T1: M = 4.21 years, T2: M = 5.43 years, N = 108–133; 51%–57% female, largely Caucasian). The interview comprises three moral (helping, sharing, comforting), a physical, and a verbal self-concept scale. To investigate whether children had an established SC and therefore answered coherently, we analyzed children’s response patterns resulting in a coherency-score: The greater answers vary within scales, the lower children score. Coherency of the MSC rose significantly across preschool period: At age 5, children answered largely coherently. Coherency of children’s MSC related to its stability, meaning that the MSC was mostly stable for children with high coherency at T1. Factor analysis confirmed a multidimensional structure of the MSC at age 5, but not at age 4. The results demonstrate that a coherent and differentiated MSC is acquired within the preschool period. This offers a new approach to investigate the emergence of the SC in early development by integrating the important aspect of coherency into the area of SC research.