For refugee children, there are a number of risk factors for poor mental health and psychosocial well-being, many of them exacerbated for those refugee children living in low-resource settings. There is some evidence that caregiver warmth, parenting self-efficacy and positive relationships between caregivers and children can act as protective factors against poor mental health outcomes for children and adolescents. This study sought to assess if caregiver-level factors (parental warmth and affection, positive child-caregiver interaction and parenting self-efficacy) are protective for symptoms of child depression. To address these questions, a quantitative survey was implemented (n = 501) in the Imvepi refugee settlement in Uganda. Results indicated bivariate associations between several caregiver-level factors and child depression. However, in multivariate models, which included measures of economic stress, both parental warmth and affection and child-caregiver interaction were no longer significantly associated with child-reported depression. Parenting self-efficacy was found to be significantly associated with lower child-reported depression. These findings indicate the need to examine and explore how or if caregiver-level factors, such as warmth and parenting self-efficacy, as well as child-caregiver relationships overall, operate in the context of chronic stress. Whereas caregiver-level factors are potentially protective against poor mental health for refugee children, contextual factors, such as poverty and livelihood opportunities, may constrain the positive impacts of parenting.