Cyber victimization is strongly and positively associated with depressive symptoms in adolescence. Identifying mechanisms of this association is imperative to benefit adolescents' mental health. Applying the General Aggression Model in a theoretically novel way, this study examined a complex mediational pathway between cyber victimization and depressive symptoms. Two hundred seventy-seven adolescent participants (M age = 15.84; 65.7% females) reported their own cyber victimization experiences, depressive symptoms, and cognitive, emotional, and behavioral attributions in response to a hypothetical cyber victimization scenario. Path analysis within structural equation modeling was used to test a model where cyber victimization predicted depressive symptoms through characterological self-blame cognitions, sadness emotions, and passive avoidance behaviors. Characterological self-blame was found to partially mediate the positive and significant association between cyber victimization and depressive symptoms. Sadness emotions and passive avoidance behaviors did not emerge as significant mediators. The findings implicate the importance of cognitions in explaining the association between cyber victimization and depression and suggest incorporating cognitive re-framing education into anti-cyberbullying prevention programs.