Background: This study aims to explore the feelings and experiences of nursing staff when faced with the death of a pediatric patient in the ICU. Methodology: A qualitative study based on hermeneutic phenomenology was conducted through semi-structured interviews. Ten nurses (30% of staff) from the Pediatric Intensive Care Unit of a referral hospital were interviewed in April 2022. Text transcripts were analysed using latent content analysis. Results: Content analysis indicated that the interviewees had feelings of sadness and grief; they had a misconception of empathy. They had no structured coping strategies, and those they practiced were learned through personal experience, not by specific training; they reported coping strategies such as peer support, physical exercise, or strengthening ties with close family members, especially their children. The lack of skills to cope with the death and the absence of support from personnel management departments were acknowledged. This can lead to the presence of compassion fatigue. Conclusions: The feelings that PICU nurses have when a child they care for die are negative feelings and sadness, and they possess coping strategies focused on emotions learned from their own experience and without institutional training support. This situation should not be underestimated as they are a source of compassion fatigue and burnout.