Self-exclusion from school is a significant issue in the UK and increasingly associated with bullying. However, there is little research into this relationship and the experiences and support needs of adolescents who experience bullying leading to self-exclusion are unknown. Using participatory methodology, we worked with adolescents who had self-excluded from school and the staff supporting them, to identify key issues on experiences and support needs and design the research approach which was carried into a second phase of research involving four focus group discussions with other self-excluded adolescents. Fifteen adolescents were involved in total (11 female, 4 male, aged 13-16). Data was analysed thematically and findings suggest anxiety underpins self-exclusion due to bullying, which was shaped by friendship dynamics, issues around seeking support, and institutional factors in schools. This led to gradual withdrawal from school, and eventually self-exclusion. These shared experiences, knowledge, and insight go beyond the current literature, thus providing a strong rationale for involving adolescents in future research.