Peer victimization is a major stressor adolescents often face in the school environment, and has been linked to depression and suicidal risk. This study analyzed the associations between three behavioral coping strategies (avoidance, seeking social support from adults/peers, and retaliation) and depression and suicidal ideation. Participants included 4,254 victimized students who were part of the Saving and Empowering Young Lives in Europe (SEYLE) study that compared three school-based prevention interventions and collected information on health risk behaviors in adolescents from 11 European countries. Results showed behavioral avoidance to be associated with an increase in levels of depression, as compared to the other coping strategies (adult social support, peer social support, retaliation). Seeking social support from adults was associated with lower depression and suicidal ideation rates. A more than 25% increase in suicidal ideation was associated with behavioral avoidance, compared to seeking social support from adults. By contrast, retaliation to peer victimization was not found to be associated with increased depression or suicidal ideation. The findings support the Coping Deficit model and may suggest that abstaining by doing nothing when victimized can be associated with certain adverse emotional outcomes.