Depression in children is a phenomenon that is important to investigate because the early onset of depression is a risk factor for even more severe depressive episodes. Research often suggests an association between depression, emotion regulation and intolerance of uncertainty, but also stressful life events. Although there are several studies linking these variables to depression, there are still inconsistencies in the research findings. The aim of this study was to examine the role of stress, intolerance of uncertainty and cognitive emotion regulation (adaptive and maladaptive strategies) on the severity of depressive symptoms in older elementary school children in a pandemic COVID-19 situation. 234 elementary school children (106 boys and 128 girls) participated in this study, with age range from 10 to 15 years. The research was conducted at the Elementary School Nikola Tesla via an online questionnaire and in the presence of a school psychologist. This study confirmed the importance of emotion regulation, intolerance of uncertainty and stress in the expression of depressive symptoms in primary school children, as well as the existence of gender differences in depression, stress, and the use of maladaptive strategies of cognitive emotion regulation. Maladaptive strategies of cognitive emotion regulation and intolerance of uncertainty significantly contribute to the explanation of depression in primary school children after controlling gender and stress. In this study, there was a mediating effect of maladaptive strategies of cognitive emotion regulation, but also of intolerance to uncertainty, in the relation of stress and depressive symptoms in elementary school children. This research gives us the opportunity to plan various workshops that could be used in schools based on the gathered information, and they would be aimed at reducing maladaptive strategies of cognitive emotion regulation and intolerance to uncertainty that contribute to greater severity of depressive symptoms.