The COVID‐19 outbreak imposed to Italian families many changes in their daily life increasing the risk of developing psychological problems. The present study explored risk factors associated with parenting stress and implications for children’s emotion regulation in families with different socioeconomic risks. Parents of 2–14 years old children completed a survey reporting difficulties experienced due to the lockdown, level of household chaos, parenting stress, parent involvement in the child’s daily life, and children emotion regulation competences. The general mean levels of parenting stress and children emotion regulation abilities were not at clinical level compared with Italian norms. Household chaos predicted higher levels of parenting stress, which, in turn, was associated with less effective emotion regulation in children through the mediating role of parental involvement. More stressed parents were less involved in their children’s activities, decreasing children’s effective emotion regulation. Only for SES no‐risk families, the lockdown constraints increased parenting stress. For SES at‐risk families, the impact of parenting stress and involvement on children regulation strategies was stronger, with a protective role played by parental involvement on children’s negativity not evident for SES no‐risk families. Dealing with the lockdown is a stressful experience for parents who have to balance personal life, work, and children upbringing, without other help. This situation potentially impairs their ability to be supportive caregivers and is consequently detrimental for children well‐being. Policies should take into consideration the implications of the lockdown for families’ mental health and tailor supportive interventions according to family’s risk factors.