The study of family factors, (namely, parenting, attachment and family functioning) that can either reduce or increase risk factors during adolescent development is crucial to the early identification of adolescents at risk for self-destructive thoughts and behaviors (SDTB). Altough several studies have highlighted the role of family factors, few have analysed the joint impact of parenting styles and attachment in SDT. This study aimed to: (1) to identify the dimensions of parenting styles and parental attachment that predict SDTB; (2) to determine the mediation effect of cohesion on the relation between these predictors and reports of SDTB; and (3) to analyze sex and age differences in the abovementioned process. Participants included 1,266 Portuguese adolescents with a mean age of 15.9 years. Structural equation modeling demonstrated that paternal and maternal rejection and paternal control were the most accurate predictors of SDTB, emphasizing their role as risk factors for maladaptive trajectories with reports of SDTB. Results clearly emphasized the relevancy of the fathers’ role in such maladaptive trajectories. Additionally, a mediation effect of cohesion and a moderation of sex were also found. This study highlights the importance of intervening with the family in preventive and therapeutic contexts regarding adolescents’ well-being and their relationship with parents.