We investigate how the mental health of older adults (60–85) is associated with childlessness and sonlessness in China, where gender-biased filial expectations and strong son preference exist. The China Family Panel Study (2012, N = 6,021) and ordinary least squares regression models are used to investigate the relationship between depression (Center for Epidemiologic Studies – Depression scale) and parental status, distinguishing between childless, parents of both sons and daughters, parents of only sons and parents of only daughters. Arguing that modernisation shapes gender preferences for children as well as formal care and pension provisions for older adults, we find a sharp rural–urban divide in the relationship between parental status and depression. Just having a son is not what matters as the best faring groups are parents who have both sons and daughters, regardless of the number of children. Rural childless and sonless are similar, whereas in urban areas parental status is not so salient, supporting modernisation theory.