Family income is an important factor that affects depression in children and can indirectly be associated with children's development through family and individual factors. However, few studies have examined the mechanism of multiple risk factors. Therefore, this study focused on the relationship between family income and child depression, as well as the chain mediating the roles of parental involvement and children's self-esteem both in single-parent families and intact families. A total of 1355 primary school students completed questionnaires that assessed family income, parental involvement, children's self-esteem, and depression. The results showed that family income influenced child depression through both the mediating roles of parental involvement and children's self-esteem and the chain mediating role of parental involvement and children's self-esteem. Meanwhile, family income only influenced child depression through chain mediation in single-parent families. The group differences in the mechanism of depression provide a reference for empirical research on depression intervention in children from different family structures.