Bullying remains one of the most serious problems affecting school systems around the world. The negative consequences of bullying in the short and long term have been widely documented, showing that victimized students are at greater risk of suffering psychosocial distress. In this paper, we first summarize the current situation of bullying prevention, adopting a contextual perspective, and briefly highlighting the characteristics of the most effective prevention programs. Secondly, we address a disturbing phenomenon detected in classrooms where bullying has been reduced through interventions and which has been termed “the healthy context paradox”. In these healthier contexts, students who remain in a situation of victimization have been found to present poorer psychological adjustment after the intervention. Understanding the causes of this phenomenon may offer clues for the prevention of bullying. In this regard, we present three hypotheses recently proposed to explain the phenomenon. Finally, we offer some implications for the study and prevention of bullying derived from “the healthy context paradox”.