Self-esteem has been identified as a predictor of bullying perpetration and victimization, which, in turn, may lead to school adjustment problems. However, findings regarding the direction and strength of these associations have been inconclusive. This study aimed to resolve this by differentiating between offline and cyber contexts and various self-esteem domains. An online sample of 459 adolescents retrospectively completed measures of self-esteem domains and offline/cyber perpetration and victimization, and a subsample of 194 adolescents also completed measures of loneliness and school adjustment. A mediation analysis of bullying-related variables on the effect of self-esteem domains on school adjustment indicated that offline victimization was the only significant mediator. Positive indirect effects were found for social and emotional self-esteem, and negative indirect effects were found for school performance-related self-esteem. Furthermore, person-oriented analyses examined differences in bullying-related roles regarding self-esteem domains, loneliness, and school adjustment. Victim groups showed lower self-esteem in many domains, but cyber victims showed higher body-related self-esteem. Bullies showed lower school performance-related but higher social self-esteem. Both bullies and victims showed lower school adjustment and more loneliness. Implications for theory and practice are discussed, as the findings are relevant for teachers and could be used to develop and deploy more effective anti-bullying programs.