Investigated whether three self-system beliefs, fear of abandonment, coping efficacy, and self-esteem, mediated the relations of stressors and caregiver–child relationship quality with concurrent and prospective internalizing and externalizing problems in a sample of children who had experienced parental death in the previous 2.5 years. The cross-sectional sample consisted of 340 children ages 7–16 and their surviving parent/current caregiver; the longitudinal analyses employed a subset of this sample that consisted of 100 children and their parents/caregivers who were assessed at three time points. A multirater, multimethod measure of caregiver–child relationship quality and a multirater measure of children's mental health problems were used. The cross-sectional model supported a mediational relation for fear of abandonment, coping efficacy, and self-esteem. The three-wave longitudinal model showed that fear of abandonment at Time 2 mediated the relation between stressors at Time 1 and internalizing and externalizing problems at Time 3. Implications of these findings for understanding the development of mental health problems in parentally bereaved children and designing interventions for this at-risk group are discussed.