To assess whether being bullied between 7 and 10 years of age is directly associated with self-harm in late adolescence when controlling for previous exposure to an adverse family environment (domestic violence, maladaptive parenting); concurrent internalizing and externalizing behavior; and subsequent psychopathology (borderline personality disorder and depression symptoms). A total of 4,810 children and adolescents in the Avon Longitudinal Study of Parents and Children (ALSPAC) cohort were assessed to ascertain bullying exposure (between 7 and 10 years of age) and self-harm at 16 to 17 years. A total of 16.5% of 16- to 17-year-olds reported self-harm in the previous year. Being bullied was associated with an increased risk of self-harm directly, and indirectly via depression symptoms in early adolescence. The association between an adverse family environment (exposure to maladaptive parenting and domestic violence) and self-harm was partially mediated by being bullied. Being bullied during childhood increases the risk of self-harm in late adolescence via several distinct pathways, for example, by increasing the risk of depression and by exacerbating the effects of exposure to an adverse family environment; as well as in the absence of these risk exposures. Health practitioners evaluating self-harm should be aware that being bullied is an important potential risk factor.