The purpose of this study is to examine the relationship between school bullying victimization, perceived social support, and depression among Chinese middle school students. The sample of this study was 1,499 students in an east coast city in China, including 883 boys and 616 girls. This study finds that school bullying victimization among middle school students carries a significant risk of depression, while perceived social support may reduce such negative effects. It also reveals the gender differences: for boys, indirect school bullying victimization significantly increases their risk of depression, and perceived social support has little to do with such a negative effect. For girls, evaluative bullying victimization has a negative effect on depression, and perceived social support from families can effectively eliminate this negative effect. Therefore, more gender-specific interventions should be considered to better reduce the negative health effects of school bullying victimization.