Millions of children are left behind in rural China to grow in absence of parents as a result of parental rural–urban migration. Previous studies have suggested that due to lengthy separation from their parents, left-behind children showed poorer well-being than did non-left-behind children. However, those studies have not considered the two groups’ children’s differences in terms of family economy and neighborhood environment, which are affected by the impact of parental migration. This study examined rural children’s well-being, particularly their physical well-being, as functions of parental absence, family economic status, and neighborhood environment. From three rural areas of Henan Province, caregivers of 519 five- to nine-year-old answered questions regarding family economic status and parental absence status; one year later, the children were interviewed about their neighborhood environment, well-being, and health status. Results showed that parental absence affected children’s health, whereas family economic status affected children’s well-being, and the effect was partially mediated by the neighborhood environment. These results suggest the importance of family economic status and neighborhood environment in studies of parental migration and development of children in rural areas. Based on these results, we discussed practical strategies to improve the well-being of rural children with migrating parents under the profound environmental change in rural China.