The relation between peer victimization and depressive symptoms is complex, requiring the use of methodologically rigorous designs to examine these relations and potential mediating factors. The current study used a random intercepts cross-lagged panel model (RI-CLPM) to investigate both between-person and within-person associations in peer victimization, depressive symptoms, and family cohesion across five waves in a sample of adolescents (N = 801, ages 13-15 years at recruitment) in the Northeast. We also investigated the moderating effects of sex and victimization status (i.e., bullying victimization vs. peer victimization). Overall, findings revealed a reciprocal relation between peer victimization and depressive symptoms for females, but no relation for males. A reciprocal relation between peer victimization and family cohesion was found for males. No significant differences were found by victimization status. Future research on peer victimization and associated outcomes and the role of family should account for both between-person and within-person variance.