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Purpose The purpose of this study was to investigate the mediating effects of self-esteem and self-resilience while identifying the relationship between bullying victimization (being bullied) and depression based on a longitudinal study design. Methods Participants were a adolescent cohort of 1,971 middle school students participating in 2013 and 2014 Korean Children and Youth Panel Survey conducted by National Youth Policy Institute. Data were analyzed by Pearson’s Correlation and regression. Results The major findings are as follows. First, self-esteem and self-resilience were positively related to each other and negatively related to depression and bullying victimization. Second, bullying victimization effected the level of depression of adolescents and self-esteem played a mediating role between bullying victimization and depression while self-resilience did not. Conclusion The results suggest that emotional factors continue to play an important role in promoting psychological adjustment of victims of bullying and, therefore, interventions are more likely to be successful if they focus on emotional skills development of adolescents.