This study aims to examine co‐occurrence patterns of depression and anxiety among Chinese adolescents and their associations with various forms of peer victimization. We collected longitudinal data from 1005 middle school students using the Multidimensional Peer Victimization Scale, Center for Epidemiological Studies Depression Scale, and State‐Trait Anxiety Inventory. Then we conducted latent profile analysis, latent transition analysis, and logistic regression analysis. The results reveal the presence of three depression‐anxiety profiles among participants: low depression‐anxiety group, moderate depression‐anxiety group, and high depression‐anxiety group. As verbal and relational victimization increase, adolescents are more likely to transition to a higher level of depression‐anxiety profile. However, an increase in physical and property victimization predicts a transition to a lower level of depression‐anxiety profile. The diverse effects resulting from different forms of victimization exhibit gender differences. For boys, an increase in relational victimization made participants in the moderate depression‐anxiety group more likely to transition to the high depression‐anxiety group, whereas this effect was not significant among girls. This study is theoretically significant for understanding the link between depression, anxiety, and their influencing factors. It suggests that educators, while addressing verbal and relational harm in adolescents, should reconsider the potential impact of physical and property harm. Opportunities to transform negative events into positive ones should be explored. Educators should tailor their focus based on gender, with a particular emphasis on addressing relational harm among male students. This underscores the need for differentiated approaches to effectively support students.