High consumption of ultra-processed foods (UPF) increases the risks of non-communicable diseases and all-cause mortality in adulthood, and the risk of early childhood caries. Limited evidence about factors influencing children’s consumption of UPF exists. This study was conducted to assess the prevalence of UPF consumption among children less than three years of age, and identify its associations with caregivers’ emotional and instrumental feeding, and children’s emotional eating. A cross-sectional study was conducted in Shijiazhuang, Hebei Province, China. Caregivers caring for children aged 6–36 months (n = 408) were recruited. Caregivers’ emotional and instrumental feeding practices and children’s emotional eating were assessed by the Parents’ Feeding Practices Scale for Infant and Young Child and Children’s Eating Behaviour Questionnaire, respectively. Children’s UPF consumption was assessed by a validated Food Frequency Questionnaire. Of the children, 86.8% consumed UPF. The highest percentage of UPF consumed was pastries (63.5%), followed by solid or semi-solid dairy products (58.8%), and reconstituted meat products (56.4%). Caregivers’ emotional and instrumental feeding was positively associated with children’s consumption of UPF (OR = 1.59, 95%CI: 1.01, 2.49), a higher frequency of UPF consumption weekly (OR = 1.80, 95%CI: 1.35, 2.39), and a larger amount of UPF consumption weekly (OR = 1.85, 95% CI: 1.38, 2.49). Children’s higher frequency of emotional undereating was associated with their UPF consumption (OR = 1.61, 95%CI: 1.07, 2.42) and a higher frequency of UPF consumption weekly (OR = 1.33, 95%CI: 1.03, 1.73). Children’s emotional undereating significantly mediated the associations between caregivers’ emotional and instrumental feeding, and children’s consumption of reconstituted meat products. Caregivers should be educated to avoid emotional and instrumental feeding practices, and cultivate children’s good eating habits to improve children’s diet quality.