The recent increase in electronic and social media use among young people has highlighted the importance of focusing on problematic social media use (PSMU) and the concurrent phenomenon of cyber aggression, as well as the role of social support. As part of the 2018 Health Behavior in School-aged Children study in Italy, this study aims to explore the role of family, peer, and teacher support in the association between cyberbullying and PSMU. Methods: Data were collected from 4183 school classes in Italy for a total of 58,976 adolescents aged 11, 13, and 15 years. The prevalence of cyber aggression (both cybervictimization and perpetration) and PSMU was estimated across subgroups of different age, gender, and geographical residence. A set of multivariable logistic regressions was then used to investigate the association between cyberbullying and PSMU, considering the effect of social support. Results: Cybervictimization was more frequent among girls than in boys. PSMU was higher in 11-year-old boys and 13-year-old girls; 8.3% and 12.7%, respectively. Social support was highest in 11-year-olds, for both sexes, and then decreased with increasing age. The risk of cyberbullying, both suffered and perpetrated, was higher in girls and in the presence of PSMU. Social support showed to be highly protective against PSMU and cyberbullying in all ages and both genders. Conclusion: Although cyber aggression is less represented in Italy than in other European countries, it is likely to increase. PSMU appears to be an important contributor to the risk of cyber aggression; however, social support has been shown to be capable of reducing the risk of both phenomena. Public health policies fostering familiar and school support can help protect adolescents’ mental health, reducing the risk of problematic media use and cyberbullying.