This study explores the protective effects of family cohesion and school belongingness against the negative consequences of bullying. 481 immigrant and nonimmigrant US middle‐school students (Mage = 13.28(0.87), 49% female; 36% ethnic minority) self‐reported their experiences being bullied, school belongingness, family cohesion, and socioemotional well‐being measured as externalizing, internalizing, and prosocial behaviors. First‐ or second‐generation immigrant youth (n = 72) came from 30 countries in Europe, Asia, Africa, South America, and the Caribbean. Family cohesion served as a protective factor for both immigrant and nonimmigrant youth, but for different outcomes of bullying experiences. For immigrant youth who experienced more bullying, having a more cohesive family was associated with decreased levels of internalizing problems. Additionally, stronger school belongingness and especially family cohesion related to more prosocial behaviors among more frequently bullied immigrant youth. Nonimmigrant youth who experienced bullying, however, reported fewer externalizing problems when they had stronger family cohesion and especially school belongingness. The findings highlight the importance of considering the interacting systems in which immigrant youth are embedded and suggest that family cohesion as a protective factor may work differently for immigrant than for nonimmigrant youth experiencing bias‐based bullying.