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(1) Background: Bullying affects a large number of children worldwide. This study has two objectives, to provide data on the prevalence of bullying in Spain, and to identify risk and protective factors associated with bullying. (2) Methods: Participants were 858 eleven-year-old children. Bullying was assessed using a short version of the Olweus Bully Victim Questionnaire, and the following data were gathered to explore potential predictors: individual (inattention, behavior problems, attention deficit hyperactivity disorder symptomatology, traumatic life events), family-related (sociodemographic characteristics, family context, child-parent relations), school-related (school characteristics, peer and social support, school environment) and community-related data. (3) Results: 9.3% of the children were victims, 1.4% bullies and 1.6% bully-victims. Results showed that a higher level of attention deficit hyperactivity disorder symptomatology increased the risk of victimization, whereas having better relationships with parents and stronger social support were associated with a lower risk of victimization. Children having strong peer relationships and social support was also associated with less risk of perpetrating bullying. Finally, having behavior problems at 8 years of age was associated with being a bully-victim. (4) Conclusions: The findings emphasize the importance of studying all bullying predictors together, regarding three of the roles children may take in bullying situations.