Keith Paquette says when he arrived at Westport Country Day School just after 5 p.m. Monday to pick up daughter Samantha Jo, the building was locked and no one was there.
He called his wife, and she called a teacher, who returned to the school.
They heard crying from inside, so Paquette broke a window to get to his daughter.
School officials told police they did a sweep of the building before leaving, and that Samantha Jo had been checked off on a list indicating she'd been picked up.
Police and state child welfare officials are investigating, and the Paquettes say they've found a new preschool.