This study investigated the mediating role of parenting self-efficacy in the relationship between Chinese parents’ depressive symptoms and their young children’s social and emotional competence and tested whether the mediating relationship differed for fathers and mothers. Parents (N = 250) of children aged 3-to-8 years old in the eastern coastal region of China completed a cross-sectional survey. Questionnaires assessed parental depressive symptoms, parenting self-efficacy, and children’s social and emotional competence. Research questions were tested using mediation and moderated mediation within a multiple regression framework. Results supported a significant indirect effect of parental depressive symptoms on young children’s social and emotional competence through parenting self-efficacy, indicating that parenting self-efficacy served as a mediator. The mediational process did not differ for mothers and fathers. Parenting self-efficacy appears to be a mechanism in explaining the influence of parental depression on young children’s social and emotional development in a Chinese sample. Findings suggest that interventions with depressed parents should seek to improve parenting self-efficacy to support young children’s healthy development in the context of parental depression.