<p>Previous research has primarily focused on the effect of being bullied on mental health; however, little attention has been given to the impact of bullying others on adolescents’ mental health. This study aims to investigate the mediating roles of stress and anxiety in the relationship between bullying (both being bullied and bullying others) and depression among Vietnamese adolescents. The sample consisted of 714 adolescents (46.6% male and 53.4% female). The Cyberbullying and Victimization Questionnaire and the Depression Anxiety Stress Scales were administered. The results indicated that stress (B = 0.166, SE = 0.030, CI = [0.112; 0.229]) and anxiety (B = 0.128, SE = 0.022, CI = [0.088; 0.173]) fully mediated the relationship between being bullied and depression. Similarly, stress (B = 0.172, SE = 0.039, CI = [0.102; 0.258]) and anxiety (B = 0.121, SE = 0.028, CI = [0.071; 0.182]) fully mediated the relationship between bullying others and depression. In both models, the direct effects of being bullied and bullying others on depression were not statistically significant after accounting for the mediators. These findings have important implications for educators and psychological counselors.</p>