The underlying mechanisms between family income and mental health of children merit further investigation. Based on the family stress model and the psychological factors model, we proposed that familial factors (parental depression and parenting) and the individual factor (child self-esteem) would mediate the relationship between family income and child depression concurrently. Data were obtained from a nationally representative longitudinal survey (i.e., the China Family Panel Studies), involving 1,283 families (2,732 parents and 1,384 children). The age of the children ranged from 4 to 15 years (M[subscript age] = 8.04, SD = 1.87) at baseline. Path analysis showed that the effect of family income (in 2010, T1) on child depression (in 2014, T3) was mediated by parental depression (in 2012, T2), parental bonding (in 2012 or 2014, T2 or T3), and child self-esteem (in 2012 or 2014, T2 or T3), in a parallel rather than sequential manner. The findings indicate that health policies and psychosocial interventions that simultaneously improve parental depression, parenting techniques, and child self-esteem would be an effective approach to alleviate the impact of family income on child depression.