Childhood and adolescence are critical periods for physical and mental development; thus, they are high-risk periods for the occurrence of mental disorders. The purpose of this study was to systematically evaluate the association between bullying and depressive symptoms in children and adolescents. We searched the PubMed, MEDLINE and other databases to identify studies related to bullying behavior and depressive symptoms in children and adolescents. A total of 31 studies were included, with a total sample size of 133,688 people. The results of the meta-analysis showed that the risk of depression in children and adolescents who were bullied was 2.77 times higher than that of those who were not bullied, that the risk of depression in bullying individuals was 1.73 times higher than that in nonbullying individuals, and that the risk of depression in individuals who bullied and experienced bullying was 3.19 times higher than that in nonbullying-bullied individuals. This study confirmed significant associations of being bullied, bullying, and bullying-bullied behavior with depression in children and adolescents. However, these findings are limited by the quantity and quality of the included studies and need to be confirmed by future studies.