Bullying has been one of the most common forms of school violence in the world. Being the victim of bullying has been shown by many studies to suffer from serious mental and physical issues. In the current study, the relationship among the victimization, peer support, and depression symptoms was assessed, using the published data from the 2009–2010 Health Behavior in School-Aged Children Survey (N = 12,642) collected from 314 publics, Catholic, and other private schools in the United States and enrolled in students from grades 5, 6, 7, 8, 9, and 10 or their equivalent in the 50 states and the District of Columbia. The results indicated: (1) The bullied victim is positively associated with the depression symptoms, with higher victimization reporting to have higher depression symptoms. (2) The bullied victim is negatively associated with peer support, with higher victimization reporting to have lower peer support. (3) The peer support was negatively related to depression symptoms. (4) The peer support partially mediates the relationship between the victimization and depression symptoms among bullied students. This empirical study underscores the important role of peer support in mitigating the negative effect of bullying on the victim’s depression symptoms. The current results also have meaningful implication to the bullying intervention program.