The main objective of the study was to investigate the effect of MID during late pregnancy, assessed by the thyroid-stimulating hormone (TSH) concentration at neonatal screening, on cognitive development of preschool children. A retrospective cohort study including 311 Belgian preschool children of 4–6 years old was conducted. Children were selected at random from the total list of neonates screened in 2008, 2009, and 2010 by the Brussels new-born screening center. Infants with congenital hypothyroidism, low birth weight, and/or prematurity were excluded from the selection. The selected children were stratified by gender and TSH-range (0.45–15 mIU/L). Cognitive abilities were assessed using Wechsler Preschool and Primary Scale of Intelligence—third edition. In addition, several socioeconomic, parental, and child confounding factors were assessed. Neonatal TSH concentration—a surrogate marker for MID—was not associated with Full Scale and Performance IQ scores in children. Lower Verbal IQ scores were found in children with neonatal TSH values comprised between 10–15 mIU/L compared to lower TSH levels in univariate analysis but these results did not hold when adjusting for confounding factors. Current levels of iodine deficiency among pregnant Belgian women may not be severe enough to affect the neurodevelopment of preschool children.