Bullying has been one of the most common forms of school violence in the world. Many studies have shown that victims of bullying suffer from serious psychological issues. In the current study, the relationships between three variables: bullied victim, peer support, and depression symptom were assessed, using published data from the 2009-2010 Health Behavior in School-Aged Children Survey (N = 12,642). The data was collected from 314 public, Catholic, and other private schools in the United States that enrolled students from grades 5, 6, 7, 8, 9, and 10 or their equivalent in 50 states and the District of Columbia. The results indicated: (1) bullied victim was positively associated with depression symptom, with higher victimization score reporting higher depression symptoms; (2) bullied victim was negatively associated with peer support, with higher victimization score reporting lower peer support; (3) peer support was negatively related to depression symptoms; and (4) peer support partially mediates the relationship between victimization and depression symptoms among bullied students. This empirical study underscores the important role of peer support in mitigating the negative effects of bullying on the victim's depression symptoms, which also provide empirical support for intervention programs based on the peer support system.