This study examines ethnic differences in the prevalence of bullying victimization by peers as well as the associations between bullying victimization and psychological distress with relevant ecological factors including parental supervision, school support, and community safety. The study utilized the 2011–2012 California Health Interview Survey (CHIS) Adolescents Data, which was collected in the United States using a multi-stage stratified sampling design with a Random Digit-Dial method. The final study sample contained a total of 2367 adolescents, comprised of 48.7% Whites, followed by 35.8% Latinos, 11.1% Asians, and 4.4% African Americans. About 49.3% were males with an overall mean age of 14.6 (sd = 1.7). Results showed that there were significant differences in rates of bullying victimization among the four surveyed ethnic subgroups of adolescents. Black adolescents reported the highest and Asian adolescents the lowest level of victimization. The results of the SEM test using the calibration sample revealed an adequate fit to the data (CFI = 0.95, RMSEA = 0.04, Δχ2/Δdf = 2.99). Separate model tests with the four subgroups of adolescents revealed good fits with the subsample data with the exception of the subsample of African Americans. Additionally, results show that factors associated with psychological distress vary widely among the White, Latino and Asian subgroups.