Investigations into the relations between phonological processing and math performance have yielded contradictory results. These contradictions might be related to small sample sizes and/or cross‐sectional designs of previous studies that limited the possibility of generalizing the findings obtained. The first goal of this study was to estimate the effect of phonological processing on number recognition and math performance during the first year of schooling, controlling for reading achievement. The second goal was to examine whether this effect varied for boys and girls. To achieve these goals, we used a large sample of first‐graders (N = 3296, 49% were girls) in Russia and applied fixed effects longitudinal analysis. Participants were assessed twice, at the beginning and at the end of the first grade (mean age was 7.3 years at Time 1). The item response theory scaling procedure was used to estimate individual scores for math performance, number recognition, phonological processing and reading performance. The results revealed that phonological processing had effects on number recognition and math performance. This effect was more salient for number recognition than for math performance, probably due to the greater involvement of the retrieval strategy in number recognition tasks. The results also demonstrated that the effect of phonological processing on number recognition was stronger for girls than for boys.