This study examined child cognitive-behavioural factors and parenting factors related to childhood depressive symptoms. Results indicate that positive and negative attributional styles were protective and vulnerable factors of depression symptoms, respectively, and the attribution-depression link was mediated by self-esteem and coping responses. Children who inclined to explain positive outcomes with internal, stable and global factors reported higher self-esteem which predicted adopting seeking social support but not internalization and externalization coping responses. These children reported less depressive symptoms. In contrast, children who explained negative events with internal, stable and global causes developed lower self-esteem and adopted internalization and externalization coping responses which predicted depression in the positive direction. Authoritative parenting style and parental anxiety predicted child depressive symptoms in the negative and positive directions, respectively. The current results solicit the attention of school personnel and professionals to the importance of fostering self-esteem and adaptive attributional style and coping responses in children.