Context: Losing a child is the most burdensome event parents can experience involving risks of developing anxiety and depression. Objectives: To investigate anxiety and depression in bereaved parents during their child's life-limiting illness and imminent death and three to five years after the loss to target future interventions. Methods: A Danish nationwide cross-sectional questionnaire survey. From 2012 to 2014, a register-based study identified causes of deaths of 951 children aged zero to 18 years. Potential palliative diagnoses were classified according to previously used classification. A total of 402 families were included. A modified version of the self-administered questionnaire “To lose a child” was used. Non-response surveys identified reasons for lack of response. Results: In all, 136 mothers and 57 fathers completed a questionnaire, representing parents of 152 children (38%). Sixty-five percent of mothers and 63% of fathers reported moderate-to-severe anxiety during the child's illness. However, three to five years after their loss anxiety had decreased markedly. Thirty-five percent of mothers and 39% of fathers reported moderate-to-severe depression during the child's illness; three to five years after the loss they were suffering equivalently from depression. The Center for Epidemiologic Studies Depression Scale indicated that severe depression was significantly associated with lower education and being unmarried. Conclusion: The reporting of anxiety during the child's illness and prolonged depression in bereaved parents three to five years after the loss indicates a potential need for psychological interventions. In the process of implementing specialized pediatric palliative care in Denmark, our findings should be considered for future treatment programs.