Parenting self-efficacy (PSE) has been positively linked to children's adjustment and negatively associated with maternal depression. However, most PSE research has been cross-sectional, limited to predominantly white, middle-class samples, and has not examined potential mechanisms underlying associations of PSE with children's behavior. The present study investigates: (1) how PSE changes over time, (2) the relationship between age 2 PSE and children's behavior problems 2 years later, and (3) the potential mediating role of maternal depression in relation to the association between PSE and child problem behavior. Participants are 652 ethnically and geographically diverse mothers and their children, at high risk for conduct problems. PSE increased between ages 2 and 4 and higher initial levels predicted lower caregiver-reported age 4 conduct problems after controlling for problem behavior at age 2. The relationship between PSE and later conduct problems was mediated, however, by maternal depression. These findings suggest maternal depression as a potential disruptor of caregiver confidence in early childhood, which has implications for the design and focus of parenting interventions.