Reactions to sensory experiences are an overlooked correlate of affective regulation, despite the importance of bodily states on psychological processes. Children who display sensory over-responsivity (i.e., adverse reactions to typical sensations) are at greater risk for developing affective disorders. We extended this literature to adolescents and their middle-aged parents. Participants in a birth record-based study of families of adolescent twins (N = 506 families; 1012 adolescents; 53% female) completed a subset of items from the Adult Sensory Profile. We derived adolescent self-reported internalizing disorder symptoms and parent affective diagnoses from structured diagnostic interviews. Structural equation models tested the relationship between parent sensory over-responsivity symptoms and affective diagnoses and their adolescent offspring’s sensory over-responsivity and internalizing symptoms. Adolescent sensory over-responsivity symptoms were correlated with internalizing disorder symptoms. Parents with a diagnosis of anxiety or depression (mothers only) reported more frequent SOR symptoms than parents without a diagnosis. Parent depression was significantly related to adolescent sensory over-responsivity symptoms, over and above parent sensory over-responsivity symptoms (β = 0.26, p < 0.001 for mothers; β = 0.13, p = 0.004 for fathers). Father alcohol abuse/dependency also predicted offspring sensory over-responsivity symptoms. Offspring of parents with affective disorders were at additional risk for sensory dysregulation via parents’ influence on offspring internalizing problems.