A growing literature has documented the mostly deleterious intergenerational consequences of paternal incarceration, but less research has considered heterogeneity in these relationships. In this article, I use data from the Fragile Families and Child Wellbeing Study (N = 3,065) to estimate the heterogeneous relationship between paternal incarceration and children’s problem behaviors (internalizing behaviors, externalizing behaviors, and early juvenile delinquency) and cognitive skills (reading comprehension, math comprehension, and verbal ability) in middle childhood. Taking into account children’s risk of experiencing paternal incarceration, measured by the social contexts in which children are embedded (e.g., father’s residential status, poverty, neighborhood disadvantage) reveals that the consequences—across all outcomes except early juvenile delinquency—are more deleterious for children with relatively low risks of exposure to paternal incarceration than for children with relatively high risks of exposure to paternal incarceration. These findings suggest that the intergenerational consequences of paternal incarceration are more complicated than documented in previous research and, more generally, suggest that research on family inequality consider both differential selection into treatments and differential responses to treatments.