Traumatic life events, such as the ongoing COVID-19 pandemic, can be a challenging health emergency, among others. The pandemic can also affect young preschoolers. They can experience negative emotions and behavioral and social difficulties. It can be hard for children to understand on their own what is going on, as well as for their families. This narrative review summarizes the role of psychotherapeutic approaches in working with trauma and aims to manage trauma, such as COVID-19, in preschool children. It focuses on the possibilities of applying cognitive-behavioral play therapy (CBPT) in preschool children who suffer from trauma during the COVID-19 pandemic period. The therapeutic approaches are tailored to specific development in preschoolers. Furthermore, the article provides insights into the relationship between negative emotions, thinking, and behavior, and COVID-19 as a threat, by describing a cognitive model in preschool-aged children. Finally, the article offers possible ways of applying play-based cognitive-behavioral therapy programs in preschool children who are victims of trauma.