Adolescent bullying is a public health issue of great global concern. Given the serious negative effect of bullying on adolescent mental health, it is critical to seek protective factors to protect adolescent mental health. From a global cross-regional perspective, the study aims to explore the relationship between forms of bullying and adolescent mental health and the role of parental support as a protective factor. Data were drawn from adolescents aged 12–17 years in 65 countries from the Global School-based Student Health Survey between 2003 and 2015. After controlling the state-fixed effects, individual adolescent behavior, and family factors, the ordinary least squares model was used to analyze the influence of bullying frequency and forms of bullying on adolescent mental health. The results found that the prevalence of bullying in the sample of 167,286 adolescents was 32.03%, with the highest prevalence of bullying in the sample countries in Africa. Verbal bullying had the highest prevalence and the most significant negative effect on adolescent mental health. The study also discussed the differences in bullying among adolescents by gender, age, and region. “Parental supervision”, “parental connectedness” and “parental bonding” played a positive and protective role in the mental health of adolescents who experienced bullying.