This study investigated the relation between Sensory Processing Sensitivity (SPS) temperament and depression, and whether such a relation might be further influenced by the indirect effects of parenting environment and empathic personal distress. A moderated mediation model was proposed to explain the underlying relations among SPS, depression, parenting environment and empathic personal distress. That is, greater levels of SPS temperament might predict higher levels of empathic personal distress, which then leads to increasing likelihood of experiencing depression. Moreover, it was predicted that this mediation relation might be significantly stronger under a less positive parenting context. The present study recruited 661 participants from a U.S. university and implemented questionnaires in an online survey. There was a significant main effect of SPS temperament in predicting empathic personal distress and depression, such that the more sensitive individuals reported higher empathic personal distress and depression. There also was a significant main effect of parenting environment on depression, where more positive parenting was associated with less depression. Empathic personal distress was found to partially mediate the relation between SPS and depression. That is, the association between SPS and depression could be partially explained by empathic personal distress. However, parenting environment did not moderate the main effect of SPS temperament on depression, the main effect of SPS on empathic personal distress, or the mediation model.