There is a vast amount of research indicating the associations between prenatal and postnatal environmental stress exposures and the human hypothalamic-pituitary-adrenal (HPA) axis functioning in early childhood. However, less is known about the protective factors among these associations. This study aimed to examine the associations between cumulative family environmental stress (CFES) exposure and a child's hair cortisol concentration (HCC) at the ages of 2.5 (n = 213) and 5 (n = 372) years. We further analyzed whether toddlers' social competence (by The Brief Infant-Toddler Social and Emotional Assessment) and preschoolers' pro- or antisocial behavior (by The Multisource Assessment of Children's Social Competence) would moderate the associations between CFES and HCC. Results showed that neither pre- nor postnatal CFES exposure was associated with child's HCC. However, children with higher social competence had lower HCC at the age of 2.5 independent of the environmental stress. Moreover, at the age of 5 years, in males with lower antisocial behavior, the HCC levels decreased along with the increased prenatal CFES exposure. The effect sizes were small, and the results should be considered with caution. The study provides some indications that a child's social and emotional abilities contribute to HPA axis functioning and could protect a child from family environmental related stress exposure during early childhood. Moreover, there may be sex differences in these associations. Further research is needed to examine whether a child's socioemotional competence could protect against stress arising from the early rearing environment as well as its contributions to the maturation of a child’ stress regulation.