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Early childhood is a critically sensitive period for the development of cognitive, communicative, and socio-emotional skills that form the foundation for future learning and adaptation. The development of evidence-based, culturally responsive pedagogical practices has become increasingly urgent. Among such practices, play and project activities are widely recognized, yet their differential effects on specific developmental domains and the processual side, that is internal processes of play and projects influence the course of a child development, remain underexplored. The present study investigates the impact of various types of play and project activities on the development of preschool children to reveal what exactly creates the conditions that lead to the observed changes. The sample consisted of 215 children aged 5–6 years (50.2% boys). A pre-test/post-test design was used to assess outcomes in the following domains: cognitive flexibility (DCCS), visual and verbal working memory (NEPSY-II subtests), cognitive and behavioral inhibitory control (NEPSY-II subtests), macro- and microstructure of narrative (MAIN), social competence, anxiety, aggression (SCBE-30), emotion understanding (TEC). Over the course of 22 group sessions, children participated in one of five activity types reflecting varied pedagogical practices: (1) free pretend play, (2) joint child-adult pretend play (3) research project activity, (4) creative project activity, and (5) no-intervention control group. The conditions differed in the degree of children's agency and the level of immersion in an imaginary situation. The findings show that joint child-adult pretend play had a significant positive effect on visual and verbal working memory, behavioral inhibitory control, and both macro- and microstructure of narrative. Free pretend play supported gains in verbal working memory, behavioral control, and macrostructure of narrative. Creative project activity enhanced narrative skills (macro- and micro-structure, lengths of narratives) and significantly reduced anxiety. In contrast, children in the control group demonstrated a significant increase in aggression, underscoring the importance of targeted developmental interventions. To sum up, the longer a child is engaged in imaginary situation—as observed in joint child-adult pretend play—the more advanced their development of self-regulation. Maintaining an imaginary level of the situation while acting on the real level requires the child to actively engage executive functions (Vygotsky, 2017). At the same time, the degree of the child's agency is associated with speech development and a reduction in social anxiety as observed in the experiment. This study highlights the differentiated benefits of play and project activities, reinforcing their role in fostering well-rounded development during early childhood. The study advocates for balanced, educational practices that blends play, creativity, and adult mediation within the realities of local educational systems.