Parents of children with oppositional defiant disorder (ODD) experience greater stress in parenting and more parental depressive symptoms. The study examined the longitudinal and bidirectional associations between three dimensions of parenting stress (i.e., parental distress, parent–child dysfunctional interaction, and difficult child) and parental depressive symptoms from a sample of Chinese parents of children with or without ODD. The sample included 256 parents of children with ODD and 265 parents of children without ODD, along with children’s teachers. Using a three wave, cross-lagged design, results showed that parents of children with ODD suffered higher levels of parenting stress across three dimensions. For both groups, the links between parental depressive symptoms and subsequent parental distress and difficult child were unidirectional, whereas the relation between parental depressive symptoms and parent–child dysfunctional interaction was bidirectional. Multi-group analysis found that there was no significant difference in the relations between parenting stress and depressive symptoms between the ODD and non-ODD groups. The findings indicated that children with ODD require comprehensive services to address the stress of their parents. The study also provided support for the dynamic and longitudinal relations between specific dimensions of parenting stress and depressive symptoms among parents of children with or without ODD.