Background: Parents play a significant role in the management and monitoring of their children’s Type 1 diabetes mellitus (T1DM), being considered a family disease. The current review intends to investigate parental stress, depression and anxiety symptoms associated with self-efficacy referred to paediatric diabetes management. Method: A literature review was carried out using PsycINFO, Web of Science and PubMed where the following terms were considered: diabetes mellitus, paediatric, parent-child relationship, self-efficacy, parenting stress, perceived stress, stress, depression, anxiety. Standing a defined list of inclusion and exclusion criteria, a total of 33 papers were finally included. Results: Findings have shown that parents experience relatively high levels of anxiety, depression and stress symptoms related to managing a child with T1DM and are associated with parental self-efficacy. Parental stress predicts a worsening in the control of HbA1c levels, while parental diabetes-specific distress predicts an increase in children depression symptoms. High parental self-efficacy associates with better monitoring, allowing better adherence and more balanced HbA1c levels in the children. Conclusions: Interventions aimed at fostering social support, improving diabetes management, and decreasing perceived stress, might alleviate parents’ psychological symptoms by focusing on increasing their self-efficacy. Digital interventions might also represent valuable solutions to support parents in the management of paediatric diabetes not presented and substantiated in the main text and should not exaggerate the main conclusions.