Early self-regulation is essential to positive life outcomes and sports are speculated to generate self-regulatory improvements. Preliminary research supports this assertion, showing some sports might yield short-term self-regulatory improvements and elite athletes tend to excel in cognitive functions underlying self-regulation. What remains unclear is whether sports improve self-regulation or better self-regulators engage in sport. We investigated whether sport participation in early childhood (4–5 years) predicted change in children's self-regulation two years later; and early self-regulation (4–5 years) predicted change in sports participation two years later. Data were drawn from the Longitudinal Study of Australian Children, which consisted of 4385 children with valid sports participation data at age 4–5 years. Self-regulation was indexed by parent-, teacher-, and observer-report data. Results indicated that young children who participated in individual sports demonstrated marginally but significantly higher self-regulation than those who did not participate. Participation in team sports did not predict change in self-regulation. Moreover, children with poor self-regulation were less likely to participate in sports. The findings provide partial support for hypotheses of bidirectional associations between sport participation and self-regulation in young children.