(1) Background: Health-related quality of life (HRQoL) is frequently reduced in children of parents with a mental illness (COPMI). Child self- and parent proxy-ratings vary with raters’ characteristics and facets of HRQoL. This study aimed at analyzing risk and protective factors associated with HRQoL in COPMI, and at examining the magnitude, direction, and predictors of child–parent agreement. (2) Methods: Analyses were based on baseline data of the German CHIMPS (children of parents with a mental illness) project with n = 134 parents diagnosed with mental illness and n = 198 children and adolescents aged 8 to 18 years. (3) Results: Both children and parents reported significantly lower HRQoL than the reference population, particularly for the child’s physical and psychological well-being. Parents’ proxy-report indicated a lower HRQoL than the children’s self-report. Child and parental psychopathology, social support, and the child’s age significantly predicted HRQoL. Interrater agreement was satisfactory and better for observable aspects like physical well-being and school environment. The child’s gender-identity and mental health significantly predicted child–parent agreement. (4) Conclusions: Parental psychopathology significantly reduces children’s HRQoL. Interventions should promote resilience in children by targeting risk and protective factors. Child–parent agreement emphasizes the need to obtain both self- and proxy-reports, whenever possible.