To what extent can cognitive control, self-regulation, and the underlying midfrontal theta oscillatory activity of preschool children be modified by an ecologically realistic training based on pretend play? To answer this question, 70 children aged 4-6 years (37 boys) were assigned to a training group or a control group using a pairing randomization procedure. Children were administered 20 play sessions over 10 weeks. Benefits were evaluated with a pre- post design. The intervention helped children to engage more in self-regulation within the training activities. However, the intervention did not promote self-regulation outside of the training context, nor did it influence cognitive control and theta activity. These results provide a better understanding of the limitations of an ecologically realistic approach to cognitive control training.