ABSTRACT The purpose of this study was to determine whether the relationship between bullying victimization and depression was unidirectional or bidirectional, whether the effects themselves were direct (unmediated) or indirect (mediated), and if sex moderated the results. This was done using a sample of 845 early adolescent youth (406 boys, 439 girls; mean age = 12.13 years at the start of the study) from a single middle school located in the northeastern region of the United States. Using data obtained from these students we explored the cross-lagged association between bullying victimization and depression across three waves of data mediated by perceived parental support and knowledge. Results from a four-equation regression analysis revealed that the relationship between bullying victimization and depression was unidirectional and that it varied by sex. As such, two patterns arose, one in which bullying victimization had a direct effect on depression that was exclusive to girls, and the other in which depression had an indirect effect on bullying victimization via a change in perceived parental support that was exclusive to boys.