Educational transitions are normative life events that require adjustment. They can cause difficulties in a number of young people and stimulate the development of internalized problems, that is, the development of depressive symptoms. Young people that are susceptible to developing depressive symptoms have higher levels of vulnerability due to various personal or environmental factors. One of important environmental factors is parenting behavior, while individual cognition is a significant personal factor. This study endeavor to examine the role of mother’s and father’s emotional warmth and autonomy support as possible protective factors, and the role of future time perception in explaining girls’ and boys’ depression at the educational transition. High school graduates from Varazdin and Rijeka participated in the study, 187 of them (118 girls) on average 18.11 years old. The following questionnaires were applied: My Memories of Upbringing, Perceived Parental Autonomy Support Scale, Future time perception, and Depression, Anxiety, Stress Scale. The results of the study show that girls on the educational transition report higher levels of depressive symptoms than boys, while there are no differences between girls and boys in the way they perceive their mother’s and father’s behaviors. The dimensions of parental behavior were examined separately for the role of the mother and the father in explaining the depressive symptoms of girls and boys. A negative association of mother’s and father’s emotional warmth with girls’ depression was obtained. Girls whose fathers and mothers showed more love and tenderness expressed less depressive symptoms. Also, girls’ depression is negatively correlated with their father’s autonomy support. Fathers’ support for autonomous behavior contribute to the explanation of depressive symptoms independently of the other variables examined. In addition, fathers’ autonomy support is positively associated with an open perception of the future that negatively correlates with depression. The future time perception plays a mediating role in explaining the relationship between the fathers’ autonomy support and depression. Support for autonomous behavior by the father leads to more positive expectations of the girls about the future and consequently lower levels of depressive symptoms. Despite certain limitations of the research, general assumptions about gender differences in depression, the different role of parenting behaviors, and the mediating role of future time perception in explaining the relationship between the fathers’ autonomy support and youth depression at the educational transition were confirmed.