FKBP5 is thought to be involved in the pathogenesis of stress-related disorders. Studies have shown that FKBP5 genotypes moderate the risk of post-traumatic stress disorder and depression in traumatized adults. We aimed to replicate this finding in a sample of preschool children. Parents of preschoolers (N = 186) were interviewed using the Preschool Age Psychiatric Assessment (PAPA) to evaluate the presence of anxiety and depressive disorders and to quantify the child’s exposure to adverse events. All FKBP5 polymorphisms showed significant interactions with mild to moderate life events, but not with severe life events, in predicting the risk of anxiety and/or depressive disorders (p = 0.003-0.019). Children who experienced a high number of mild to moderate life events had a higher risk of developing an anxiety and/or depressive disorder if they were carriers of the minor allele compared to major allele homozygotes. Results indicate that genetic variation in FKBP5 influences the risk of anxiety and/or depressive disorders in preschool age by altering the sensitivity to the deleterious effects of mild to moderate adverse events. In case of severe life events, the FKBP5 genotype does not seem to play a role, suggesting that severe life events might influence directly the risk of anxiety and/or depressive disorders independent of an FKBP5 genotype-dependent vulnerability.