This study explored the effect of parental emotion socialization behavior (ESB) on depressive symptoms with a focus on the mediating effect of emotion regulation and the moderating role of family cohesion. A total of 236 Chinese adolescents were surveyed and reported on parental ESB, family cohesion, emotion dysregulation, and depressive symptoms. The results indicated that parental ESB toward negative emotions was associated with adolescents' depressive symptoms, as mediated by emotion dysregulation. Moreover, higher levels of family cohesion both enhanced the negative relationships between supportive ESB toward anger/sadness and emotion dysregulation and strengthened the positive relationship between non-supportive parental ESB toward sadness and emotion dysregulation. These findings clarify the interactive effects of multiple components of emotional parenting, reveal the double-edged effects of family cohesion in the association between parental ESB and depressive symptoms in adolescents, and highlight the importance of evaluating the family emotional context in research and clinical interventions.