This study uses a multi-method approach to investigate the effectiveness of Parent–Child Interaction Therapy (PCIT) in reducing children’s behavior problems when parents report clinical levels of depressive symptoms. Participants were 132 children, 2–7 years of age, and their biological mothers, who either reported low (N = 78) or clinical levels of depressive symptoms (N = 54). Results showed that depressive mothers were likely to report more severe child behavior problems than non-depressive mothers at the pre-treatment assessment, but that depressive mothers reported greater reductions in child behavior problems than non-depressive mothers from pre- to post-treatment. The two groups showed similar levels of observed interaction quality at the pre-treatment assessment (i.e., parent and child emotional availability and parent verbalization patterns) and similar improvements in interaction quality from pre- to post-treatment. The implications of the findings for clinical practice were discussed.