Self-regulated learning is one of the main processes being investigated today within developmental and educational psychology; however, the research has come up against a number of challenges for which no satisfactory response has been found, and which are impeding progress in the field. These challenges are two-fold: one part is methodological, as the process of self-regulation must be evaluated at the very moment in which it occurs, and the other part is developmental, as these processes have not been fully assessed in children under the age of 6 years. This article gives a broad overview of these challenges, as well as prospects for future solutions which are beginning to take shape.