Self-regulation includes the ability to control one’s behavior as needed to meet social expectations and is associated with adaptive developmental outcomes. One tool for self-regulation is private speech; however, research has not examined if children’s private speech is consistent across cognitively-focused and emotionally-focused contexts and if it is associated with regulatory abilities in similar ways. The goal of this study was to investigate relations between children’s private speech and their regulation in three contexts with varying emotional and cognitive demands with children’s age examined as a moderator of the association of private speech to regulation. Preschool-aged children’s (n = 122) private speech (vocalizations, inaudible muttering, task-irrelevant, negatively valenced, and facilitative) was transcribed and coded in three contexts: selective attention where children matched pictures according to certain rules, emotion regulation where children’s persistence in attempting to overcome an obstacle to achieve a goal was observed, and inhibitory control where the children were instructed to wait to color. Using linear mixed modeling, private speech did not significantly predict children’s regulatory abilities in the selective attention task; however, meaningful associations were found between private speech and regulation in the emotion regulation and inhibitory control contexts. Furthermore, age moderated the association of private speech to regulation in the inhibitory control context. Our findings that associations between private speech and regulation outcomes differed across contexts highlight the importance of examining self-regulation as a multidimensional construct and emphasize the importance of considering both cognitive and emotional demands for supporting children’s optimal self-regulation.