Aims and objectives To explore what it is like for children in the family setting to live with parental mental illness. Background There are reported risks of negative social and behavioural outcomes among children living with parental mental illness such as poor school performance, isolation and poor mental health. There is yet more to know about how children's interactions with significant members of the family shape their experiences. Design A phenomenological design following Husserl's concepts of lifeworld and inter‐subjectivity was adapted for the study. Method Twenty‐one children (ages 10–17) who lived with a parent with mental illness were interviewed. The data were analysed to attain the essential features of the phenomenon. The study followed the COREQ checklist for qualitative studies. Findings The essence of the phenomenon ‘living with parental mental illness’ in the family setting comprises strain, sadness and some happy moments. Living with parental mental illness can produce unpredictable life situations for children as relationships and interactions in the family setting can be chaotic and confusing. The ups and downs define their lifeworld as a roller coaster. Strenuous family environment, sibling interaction, navigating separate living arrangements and there are good days were specific themes that clarified the children's lives as a roller coaster. Conclusion A concept called the ‘parent paradox’ is coined to reflect how children are torn between what their living situation looks like comparing the parent with mental illness and the other without mental illness. The paradox is founded on children's loyalty towards their parents. Relevance to clinical practice To break the unhealthy cycle created by the parent paradox, mental health nurses should ensure that children are well informed about the parent's mental condition including information about treatment procedures and recovery. Child's psychological distress may be reduced when they are informed.