Extant research in Western countries have indicated that children’s well-being may be influenced by children’s own resilience, parent–child attachment, and parental marital relationship. Yet, there is very little research in Malaysia on how these factors may influence well-being among children in middle childhood. The aim of this study, therefore, was to explore the relationships among children’s self-efficacy—a resilience factor—and well-being, parental marital relationship, and parent–child attachment style. The study used a quantitative, cross-sectional survey method. Participants were 955 Malay-Malaysian children aged 11 years from intact families. They responded to a questionnaire on demographic background, self-efficacy, well-being, parental harmony and conflict, and parent–child attachment style. Moderated mediation analysis indicated that (i) parental harmony was a significant mediator for the relationship between children’s self-efficacy and well-being; (ii) parental conflict was not a significant mediator for the relationship between children’s self-efficacy and well-being; and (iii) parent–child attachment style was a significant moderator for the relationship between children’s self-efficacy and well-being. These findings are discussed within the frameworks of optimal child development and family relationship. These findings may also inform policies such as Malaysia’s Sustainable Development Goal 3 (SDG 3) and National Family Policy.