This study tested the measurement invariance of Children’s Depression Inventory (CDI) and compared its factorial variance/covariance and latent means among Chinese and Italian children. Multigroup confirmatory factor analysis of the original five factors identified by Kovacs revealed that full measurement invariance did not hold. Further analysis showed that 4 of 21 factor loadings, 14 of 26 intercepts, and 12 of 26 item errors were noninvariant. Factor variance and covariance invariant tests revealed significant differences between Chinese and Italian samples. The latent factor mean comparison suggested no significant difference across the two groups. Nevertheless, the finding of partial metric and scalar invariance suggested that observed mean differences on the CDI items cannot be fully explained by the mean differences in the latent factor. These results suggest that researchers and practitioners exercise caution when gauging the size of the true national population differences in depressive symptoms among Italian and Chinese children when assessed via CDI. In addition to providing needed evidence on the use of the CDI in Italian and Chinese children specifically, the methods used in this research can serve more generally as an example for other cross-cultural assessment research to test structural equivalence and measurement invariance of scales and to determine why it is important to do so.