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The present study, carried out during the first peak of the COVID-19 outbreak in Italy, aimed at investigating the mental health of mothers and children during the nationwide lockdown. More specifically, the study investigated children’s depression and mothers’ individual distress and parenting stress, in comparison with normative samples. The mediating effect of mothers’ parenting stress on the relationship between mothers’ individual distress and children’s depression was also explored. Finally, the study analyzed whether children’s biological sex and age moderated the structural paths of the proposed model. A sample of 206 Italian mothers and their children completed an online survey. Mothers were administered self-report questionnaires investigating individual distress and parenting stress; children completed a standardized measure of depression. Mothers’ individual distress and parenting stress and children’s depression were higher than those recorded for the normative samples. Mothers’ parenting stress was found to mediate the association between mothers’ individual distress and children’s depression. With respect to children, neither biological sex nor age emerged as significant moderators of this association, highlighting that the proposed model was robust and invariant. During the current and future pandemics, public health services should support parents—and particularly mothers—in reducing individual distress and parenting stress, as these are associated with children’s depression.