Objective: The percentage of victims of cyberbullying among college students seems to increase. However, research on the mechanisms by which cyberbullying victimization (CV) suffer from depression is scarce. This study has purpose to figure out the mediating role of self-esteem (SE) as well as the moderating role of approach coping strategies in the association between CV and depression among Vietnamese college students. Methods: A total of 606 Vietnamese university students completed the Self-Esteem Scale, The Self-Report Coping Scale, The cyberbullying victimization scale, DASS 21. Results: The results indicated that SE partially mediated the relation between CV and depression among Vietnamese college students as well as approach coping strategies moderated the involvement between CV and depression among Vietnamese college students. Conclusions: Our findings can help psychological service providers identify the methods by which cyberbullying sufferers related to depression and provide interventions to reduce depression for cyberbullying victims.