The aim of this study was to determine whether the extent of improvement in self-regulation achieved between ages 4 and 6 years is associated with the level of behavioral problems later in childhood. Participants were 4-year-old children (n = 510) attending preschools in South Australia. Children’s level of self-regulation was assessed using the parent-completed Devereux Early Childhood Assessment when children were aged 4, 5, and 6. Children’s level of behavioral problems was assessed using total, internalizing, and externalizing scores on parent- and teacher-rated Strengths and Difficulties Questionnaires (SDQs) when children were 6 years old. Random effects regression was used to describe the changes to children’s self-regulation between 4 and 6 years. Linear regression models were then used to determine the strength of the association between the extent of self-regulation improvement and level of behavioral problems. Greater improvement in self-regulation, adjusted for family characteristics and baseline self-regulation scores, was associated with lower levels of parent- (B = −3.57, 95% confidence interval [CI] [−4.49, −2.65]) and teacher-rated SDQ total difficulties scores at 6 years (B = −2.42, 95% CI [−3.50, −1.34]). These effects remained after adjustment for level of parent-rated behavioral problems at 4 years. Similar effects were found for internalizing and externalizing scores at age 6 years. The results highlight the importance of improvements in self-regulation from 4–6 years for childhood behavioral problems during the early school years. Children with lower levels of improvement in self-regulation early in life are at risk for higher levels of behavioral problems both at home and at school.