The present study investigated the extent to which parental behavior in daily interaction with one’s child mediates the associations between parental depressive symptoms and children’s daily distress. The participants were 152 Finnish families with a 6- to 7-year-old child. Parents’ depressive symptoms were assessed using the revised Beck Depression Inventory. Children’s distress was operationalized as negative daily emotions assessed by using mother-, father-, and teacher-reported diary questionnaires. Parental affection and psychological control in daily interaction were measured using parent self-reported diary questionnaires. The results of structural equation modeling showed that both mothers’ and fathers’ depressive symptoms were associated with their children’s high level of daily distress. Furthermore, the association between parental depressive symptoms and children’s distress was fully mediated via parents’ psychological control, in particular: depressive parents applied psychological control in their daily interaction with their children, which then was associated with their children’s distress.