Only a very few studies to date have comprehensively assessed children’s knowledge of sexuality. In this study, we examined the level of sexual knowledge among children aged 3–6 years in Finland. We analysed children’s explanations of what they saw in drawings related to genital naming, conception and childbirth, safety skills, and adult sexual activity. Levels of knowledge were generally low. The largest number of correct answers were given for genital naming and safety skills. Knowledge increased with age. Children’s gender was not related to their total level of knowledge. There was a correlation between children’s ability to name their genitals and their knowledge of safety skills. The results suggest that only what is known about can be protected. Building on the findings of this study, age-appropriate sexuality education should be provided to all children.