(1) Background: Previous studies have shown that stress increases the risk of bullying (including perpetration and victimization) in adolescents, and depressive symptoms are associated with both stress and bullying. However, the relationship between stress, depressive symptoms, and bullying has not been fully elucidated. In addition, previous studies have focused only on stressors but have ignored the role of resilience in evaluating individual’s stress. This study aimed to incorporate resilience into the assessment of an individual’s stress, which we named comprehensive stress; to examine the relationship between comprehensive stress and bullying; and then to investigate the potential role of depressive symptoms in this relationship. (2) Methods: We recruited 6353 middle and high school students from the 2021 Shanghai CDC Youth Risk Behavior Surveillance Project. After signing informed consent, participants provided demographic information and completed effective measures of stressors, resilience, depressive symptoms, and bullying. (3) Results: Latent profile analysis revealed four profiles of comprehensive stress, labeled as Low stressor–High resilience (37.57%, n = 2216), Moderate high stressor–Average resilience (14.38%, n = 848), Average stressor–Moderate low resilience (33.33%, n = 1966), and High stressor–Low resilience (14.72%, n = 868). In comparison to students in the Low stressor–High resilience profile, students in other profiles demonstrated higher likelihoods of engaging in bullying victimization and perpetration, as well as higher levels of depressive symptoms. Specifically, students in the High stressor–Low resilience profile had the highest odds of bullying victimization (OR = 6.74, 95% CI: 4.92–9.22) and perpetration (OR = 5.15, 95% CI: 3.56–7.46), along with the highest level of depressive symptoms (β = 11.35, Se(β) = 0.17). Students in the Average stressor–Moderate low resilience profile had a moderate increase in the odds of bullying victimization (OR = 2.21, 95% CI: 1.63–3.00) and perpetration (OR = 2.69, 95% CI: 1.91–3.80), as well as a moderate level of depressive symptoms (β = 5.03, Se(β) = 0.13). Students in the Moderate high stressor–Average resilience profile also showed increased odds of bullying victimization (OR = 2.99, 95% CI: 2.12–4.20) and perpetration (OR = 2.80, 95% CI: 1.88–4.20), as well as a moderate level of depressive symptoms (β = 4.44, Se(β) = 0.16). Depressive symptoms were positively correlated with both perpetration and victimization. Furthermore, the mediating role of depressive symptoms between comprehensive stress and bullying was observed. (4) Conclusions: Combining stressors and resilience is crucial when evaluating an individual’s stress. Comprehensive stress is associated with bullying, and depressive symptoms may partially mediate this relationship.