Just because there aren't any sex scenes or drug uses doesn't mean this is a fairy tale for children.
There's a lot of violence in Pan's Labyrinth, and we're not just talking about bloodless bullet holes. We see a man's face smashed in with a bottle, the beginnings of an amputation and the resolution of torture. We see a bloody and deadly labor and the violent deaths of other main characters. And let's not forget the stabbing scene and the part where Vidal stiches back together his sliced-open mouth.
All this and we haven't even touched on the general aura of creepiness of the creatures like the Faun and the Pale Man that are sure to induce nightmares in even the least imaginative of us. Our protagonist might be young and innocent…but that only serves to amplify the violence and the horror around her.