The high prevalence of bullying is accompanied by research suggesting that bullying victimization predicts depressive symptoms during late adolescence. However, the processes through which bullying may lead to depression are not fully understood. This study used structural equation modeling to examine future orientation and self-mastery in the relationship between bullying and depression. Researchers used three waves of data (N = 448; M[subscript age] = 14.83; 52% female) in the Youth Development Study. The indirect pathway from bullying victimization to depressive symptoms through self-mastery was significant, suggesting that self-mastery may mediate the relationship. Results demonstrate that bullying victimization has long-term effects on adolescents' mental health, and self-mastery can serve as a potential target for intervention and prevention.