Children’s depressive symptoms in the transition from preschool to school are rarely investigated. We therefore tested whether children’s temperament (effortful control and negative affect), social skills, child psychopathology, environmental stressors (life events), parental accuracy of predicting their child’s emotion understanding (parental accuracy), parental emotional availability, and parental depression predict changes in depressive symptoms from preschool to first grade. Parents of a community sample of 995 4-year-olds were interviewed using the Preschool Age Psychiatric Assessment. The children and parents were reassessed when the children started first grade (n = 795). The results showed that DSM-5 defined depressive symptoms increased. Child temperamental negative affect and parental depression predicted increased, whereas social skills predicted decreased, depressive symptoms. However, such social skills were only protective among children with low and medium effortful control. Further, high parental accuracy proved protective among children with low effortful control and high negative affect. Thus, interventions that treat parental depression may be important for young children. Children with low effortful control and high negative affect may especially benefit from having parents who accurately perceive their emotional understanding. Efforts to enhance social skills may prove particularly important for children with low or medium effortful control.