Family socio‐economic status (SES) is significantly related to disparities in children’s executive function. Children from economically disadvantaged backgrounds perform worse on executive function tasks than their peers from high‐SES families. The protective factors in the relationship between SES and executive function have not been sufficiently investigated, especially from the perspective of parents’ and children’s perceptions and expectations regarding SES. Therefore, this study aimed to examine whether parental subjective SES and children’s subjective social mobility separately moderated the relationship between family SES and children’s executive function among 885 participants aged 9–13 years. The results showed that family SES was positively related to the three components of executive function (cognitive flexibility, inhibitory control, and working memory). Moreover, the relationship between SES and cognitive flexibility was weak among the children with a high level of subjective social mobility or those whose parents had high levels of subjective SES. Among children from families with economic hardship, subjective social mobility is a potential protective factor mitigating the negative effects of low family SES on their cognitive flexibility.