Features of the primordial density fluctuations power spectrum are theoretically extremely motivated and detecting them would provide a unique insight into the physics of the early universe. In this talk, I will show how the stochastic gravitational wave background (SGWB) offers a new way to probe primordial features, on small scales complementary to the ones probed by the Cosmic Microwave Background and large scale structure observations. These features give rise to specific oscillatory patterns in the frequency profile of the SGWB, which can be detected in future GW observatories like LISA.