Bullying behaviours are shown to be associated with symptoms of affective disorder; however, there is limited evidence of these associations in a Canadian high school context. We sought to examine the relationship between psychosocial characteristics of high school youth, their bullying involvement, and their self-reported symptoms of anxiety and depression. Logistic regression was conducted using data from year 5 of the COMPASS Study, a large behavioural health survey of Canadian students in grades 9 to 12. Data were used from 6,585 students who participated in a pilot test introducing a new Mental Health-Module (MH-M). One third of students in our sample reported clinically-relevant symptoms of anxiety, and over 40% reported symptoms of depression. Approximately 20% of students reported involvement in bullying as victims, perpetrators, or victim-perpetrators. Overall, being involved in bullying as a victim or victim-perpetrator was associated with increased likelihood of anxiety and depression, but this was not observed for perpetration. Measures of mental wellbeing and emotional regulation skills were also significantly associated with clinically relevant symptoms of anxiety and depression among students in our sample, and were shown to partially mediate the relationship between bullying and mental disorder. Further research is needed to investigate the protective effects of positive mental wellbeing and socio-emotional skills on mental disorder, within high school bullying contexts. School-based prevention efforts that aim to foster emotional intelligence and improve flourishing among youth may be most effective in addressing the psychological burdens of bullying involvement.