Sibling warmth has been identified as a protective factor from life events, but stressor–support match-mismatch and social domains perspectives suggest that sibling warmth may not efficiently protect youths from all types of life events. We tested whether sibling warmth moderated the association between each of family-wide, youths’ personal, and siblings’ personal life events and both depressive symptoms and risk-taking behaviors. Participants were 187 youths aged 9–18 (M = 11.80 years old, SD = 2.05). Multiple regression models revealed that sibling warmth was a protective factor from depressive symptoms for family-wide events, but not for youths’ personal and siblings’ personal life events. Findings highlight the importance of contextualizing protective functions of sibling warmth by taking into account the domains of stressors and adjustment.