Social play behaviour is a rewarding activity that can entail risks, thus allowing young individuals to test the limits of their capacities and to train their cognitive and emotional adaptability to challenges. Here, we tested in rats how opportunities for risk-taking during play affect the development of cognitive and emotional capacities and medial prefrontal cortex (mPFC) function, a brain structure important for risk-based decision-making. Male and female rats were housed socially or social play-deprived (SPD) between postnatal day (P)21 and P42. During this period, half of both groups were daily exposed to a high-risk play environment. Around P85, all rats were tested for cognitive performance and emotional behaviour after which inhibitory currents were recorded in layer 5 pyramidal neurons in mPFC slices. We show that playing in a high-risk environment altered cognitive flexibility in both sexes, and improved behavioural inhibition in males. High-risk play altered anxiety-like behaviour in the elevated plus maze in males and in the open field in females, respectively. SPD affected cognitive flexibility in both sexes and decreased anxiety-like behaviour in the elevated plus maze in females. We found that synaptic inhibitory currents in the mPFC were increased in male, but not female, rats after high-risk play, while SPD lowered PFC synaptic inhibition in both sexes. Together, our data show that exposure to risks during play affects the development of cognition, emotional behaviour and inhibition in the mPFC. Furthermore, our study suggests that the opportunity to take risks during play cannot substitute for social play behaviour.