Children vary in the extent to which they benefit from parenting programs for conduct problems. How does parental mental health change if children benefit less or more? We assessed whether changes in conduct problems and maternal depressive symptoms co-occur following participation in the Incredible Years parenting program. We integrated individual participant data from 10 randomized trials (N = 1280; children aged 2–10 years) and distinguished latent classes based on families’ baseline and post-test conduct problems and maternal depressive symptoms, using repeated measures latent class analysis (RMLCA) and latent transition analysis (LTA). Classes differed mainly in severity of conduct problems and depression (RMLCA; 4 classes). Conduct problems reduced in all classes. Depressive symptoms did not change in most classes, except in a class of families where conduct problems and depression were particularly severe. Incredible Years led to a greater likelihood of families with particularly severe conduct problems and depression moving to a class with mild problems (LTA; 3 classes). Our findings suggest that for the majority of families, children’s conduct problems reduce, but maternal depressive symptoms do not, suggesting relative independence, with the exception of families with severe depression and severe conduct problems where changes for the better do co-occur.