An increased prevalence of psychiatric comorbidity (PC) in individuals with Autism Spectrum Disorders (ASD) is consistently reported. While several studies have examined PC in school-aged children, adolescents and adults with ASD, investigations on PC in preschoolers are less common. In this study, we explore the prevalence and the type of PC in a sample of 989 preschoolers with ASD through the DSM-Oriented Scales (DOS) of the Child Behavior Checklist (CBCL 1½-5) and their possible links with the core features of ASD and cognitive functioning. Results indicated that 37.8% of the sample had at least one PC in addition to ASD; these subjects displayed significantly higher Total score (p = 0.02) and Social Affect score (p = 0.003) on the ADOS-based calibrated severity scores (CSS), as well as lower (p ≤ 0.0001) performance IQ (pIQ) compared to ASD individuals without PC. As far as the specific DOS, Affective Problems (AP) were detected in 23.4% of the whole sample, ADHD Problems (ADHD) in 17.3%, Anxiety Problems (AXP) in 16.7%, and Oppositional Problems (OP) in 7.9%. These different comorbidities were isolated in 195 subjects (Mono-comorbid group: 19.7% of the whole sample), while 179 subjects (18.1% of the whole sample) had two or more types of PC (Multi-comorbid group). One-way ANOVA revealed that subjects with multi-comorbidity have statistically significant lower pIQ and higher Total score and Social Affect score on CSS-ADOS. Specific differences for each type of comorbidity and gender differences were also discussed. Taken together, results indicate a considerable presence of PC in preschoolers with ASD that should be accurately considered during the assessment and diagnosis process in order to plan a tailored intervention based not only on core symptoms of ASD, but also on comorbid psychiatric condition since preschool age.