<p>The rise in cyberbullying victimization among adolescents has become increasingly evident. Nonetheless, there remains a lack of extensive research examining the mechanisms linking cyberbullying victimization to depression. Notably, studies investigating the roles of avoidant coping strategies and social support in this context are scarce. This research aimed to determine whether social support moderates the indirect association between cyberbullying victimization and depression in Vietnamese adolescents. A total of 1,582 Vietnamese adolescents participated in the study. They completed the Cyberbullying and Victimization Questionnaire, Self-report Coping Scale, Multidimensional Scale of Perceived Social Support, and Depression, Anxiety, Stress Scale—21. Moderated mediation analyses were carried out using Smart PLS 4.0.9.9 to examine the interrelations among the variables. Findings indicated that avoidant coping strategies partially mediate the link between cyberbullying victimization and depression in Vietnamese adolescents, while social support significantly moderates this indirect effect. The study underscores the importance of incorporating positive coping strategy development and fostering social support in measures aimed at preventing and addressing adolescent depression.</p>