Bullying has severe public health consequences, due to its high prevalence worldwide and devastating effects on physical and mental health. Therefore, it is relevant to further understand the factors that contribute to the emergence and maintenance of bullying. This study aimed to examine the differential mediating role of social skills in the relationship between (i) externalizing problems and engagement in aggressive bullying behaviors, and (ii) internalizing problems and the engagement in victimization bullying behaviors. Participants were 669 Portuguese adolescents aged between 12 and 19 years. The Social Skills Improvement System-Rating Scales and the Scale of Interpersonal Behavior at School were used to assess social skills and the engagement in bullying behaviors, respectively. Boys scored higher on aggressive behaviors and externalizing problems. Girls reported higher scores on internalizing problems, communication, cooperation and empathy. Social skills differently mediated the association between behavior problems and engagement in bullying. While empathy negatively mediated the association between externalizing problems and aggressive bullying behaviors, assertiveness negatively mediated the relationship between internalizing problems and victimization bullying behaviors. The risk factors for engaging in bullying are discussed, and so are the protective ones, which may help to prevent bullying behaviors and reduce their negative impact.