In "My Parents," the speaker recalls the difficulties of his upbringing. He was a middle- or upper-class child, though life frequently put him into contact with "children who were rough"—that is, working-class kids who lived in the same area. His parents, mentioned only in this first line, tried to keep him away from these other kids.
Already, this opening detail tells the reader a lot about the speaker's childhood. His parents believed he was vulnerable and needed their protection. They were also suspicious of, and likely condescending toward, people of lower economic classes. Placing "My parents" right at the start of the poem—even though the speaker never mentions them again—suggests how central their attitudes were to the speaker's childhood. Their distaste for "rough" children had a lasting impact on him; hence the need for this retrospective (and introspective) poem.
"Rough" is a euphemism here. It's a seemingly harmless word, but it does a lot of work. It's a way of saying "violent" or "brutish," while also suggesting a perceived lack of refinement (in accent, mannerisms, clothing, etc.). It's a typically middle- or upper-class way to describe someone of lower social status, particularly in the early 20th century.
The parents' attempts to shield the speaker from the "rough" kids didn't work. The rest of the poem focuses entirely on the speaker's interactions with these kids. As a way of capturing their "rough[ness]," the poem rejects conventional punctuation and sentence structure. Notice, for example, how the first line leads into the second:
My parents kept me from children who were rough
Who threw words like stones and wore torn clothes
Because the speaker omits the expected comma after "rough," the repetition of "Who" in line 2 is abrupt and surprising. The asyndeton between "rough" and "Who" (i.e., the lack of a conjunction such as "and") makes this shift from line to line especially startling. The language here sounds jerky and jagged, as "rough" as the kids it's describing.
The "rough" kids, according to the speaker, "threw words like stones." This simile alludes to an old nursery rhyme: "Sticks and stones may break my bones, but words may never hurt me." The speaker flips this idea on its head—the bullies' words did hurt, and they hurt so much that they felt like stones. They might not have broken his bones, but they did break his spirit.
The bullies' "torn clothes" and "rags" signal their poverty. In line 3, the speaker recalls how "their thighs showed through" their garments. The speaker often notes the physicality of these other children, conveying an appreciation of their strength and vigor. While he avoided them, they had a grand old time running around the street, "climb[ing] cliffs," and stripping "by the country streams." Though poor, they led active, exciting lives with a degree of freedom (though they probably had to work, too). The speaker's life, by contrast, was far more restrained. On some level, then, the speaker may have longed to be one of the "rough" children, even while internalizing his parents' message to keep away from them.
This first stanza captures the "rough[ness]" of those children not only through asyndeton but through sound patterning. Dense assonance ("Who threw," "stones and wore torn clothes," "cliffs"/"stripped") and alliteration ("words"/"wore," "thighs"/"through," "climbed cliffs [...] stripped by country streams") make the language sound robust and a little tough to say. The poem thus creates its own "rough" music to evoke the speaker's childhood fears.