Parentally bereaved children's locus of control and self-esteem were examined as stress-moderators or stress-mediators of their internalizing and externalizing mental health problems. Seventy-six children ages 8 to 16 and their surviving parent were assessed 4 to 34 months after the death. Stress, locus of control, and self-esteem were measured by child report questionnaires. Internalizing and externalizing mental health problems were measured by child report on both questionnaires and a structured interview and by parent report questionnaires. The results revealed that self-esteem was a significant mediator of the relations between stress and both child and parent reports of internalizing problems but not externalizing problems. No significant mediation effects were found for locus of control. Neither locus of control nor self-esteem was a significant moderator of the relations between stress and children's internalizing and externalizing problems. Implications for understanding parentally bereaved children's mental health problems and for developing preventive interventions are discussed.