Background There are few prospective, population‐based studies on childhood parental death and psychiatric disorders in adulthood, and previous findings are inconclusive. This study investigated the association between parental death from natural and external (suicides, accidents or homicides) causes before 18 years and the risk of clinical depression in young adults, in relation to age at loss and gender of both child and parent. Methods In this register‐based study, a national cohort born in Sweden during 1973–1982 (n = 862,554) was followed with regard to hospital admissions and outpatient care for depression during 2006–2013. Multivariate Cox proportional hazards models were used to estimate the impact of parental death, taking sociodemographic and parental psychosocial covariates into account. Results Maternal death from natural causes was associated with a hazard ratio (HR) of outpatient care for depression of 1.19 [95% confidence interval (CI), 1.02–1.40] in men and 1.15 (1.01–1.31) in women, after adjustment for sociodemographic confounders, with similar effect sizes for paternal natural death. Death from external causes consistently had higher effect size compared with natural deaths, in particular in relation to risk of hospital admissions for depression where they were as high as HR 3.23 (2.38–4.38) for men, and 1.79 (1.30–2.47) for women after a loss of a mother. Losing a parent in preschool age, compared with losing a parent as a teenager, was associated with higher risks of both hospitalization (p = .006) and outpatient care (p = .001) for depression. Conclusions This study indicates that parental loss to death from natural causes during childhood is associated with a small increased risk of long‐term consequences for psychological health. Children who lose their parents to death from external causes, that is suicides, accidents or homicides, and children losing a parent in young ages are, however, at particular risk and should be given priority in preventive interventions after parental loss.