Wheezing at preschool age (i.e., before the age of six) is common, occurring in about 30% of children before the age of three. In terms of health care burden, preschool children with wheeze show double the rate of access to the emergency department and five times the rate of hospital admissions compared with school-age asthmatics. The consensus document aims to analyse the underlying mechanisms involved in the pathogenesis of preschool wheezing and define the risk factors (i.e., allergy, atopy, infection, bronchiolitis, genetics, indoor and outdoor pollution, tobacco smoke exposure, obesity, prematurity) and the protective factors (i.e., probiotics, breastfeeding, vitamin D, influenza vaccination, non-specific immunomodulators) associated with the development of the disease in the young child. A multidisciplinary panel of experts from the Emilia-Romagna Region, Italy, addressed twelve key questions regarding managing preschool wheezing. Clinical questions have been formulated by the expert panel using the PICO format (Patients, Intervention, Comparison, Outcomes). Systematic reviews have been conducted on PubMed to answer these specific questions and formulate recommendations. The GRADE approach has been used for each selected paper to assess the quality of the evidence and the degree of recommendations. Based on a panel of experts and extensive updated literature, this consensus document provides insight into the pathogenesis, risk and protective factors associated with the development and persistence of preschool wheezing. Undoubtedly, more research is needed to improve our understanding of the disease and confirm the associations between certain factors and the risk of wheezing in early life. In addition, preventive strategies must be promoted to avoid children’s exposure to risk factors that may permanently affect respiratory health.