This study examined whether family environment and coping strategies mediate the relationship between adolescents' bullying involvement (being a bully or victim) and severity of depression. The study utilized a nationally representative school survey and gathered data from 1083 school adolescents (mean age 15.0 ± 1.4 years; 66% females; 46% from the central urban region; 71% had very good to excellent school GPA). The relationship between bullying involvement and depression was partially mediated by family environment and emotion-focused coping. No mediating effect was revealed for problem-focused coping in this relationship. Findings from this study might help understand how the effect of bullying transmits on adolescents' psychological health, allowing us to supply more in-depth information about the bullying phenomenon than what can be explained by direct effects alone. Family environment and coping strategies used by adolescents seemed to play a critical role in shaping their bullying experience and thus, incorporating these factors into available effective anti-bullying programs can be promising.