Background: There is a complex and inconsistent relationship between bullying involvement and self-harmful thoughts and behaviour (SHTB) in young people. This novel systematic review aims to establish key interacting, moderating and mediating variables associated with SHTB in young people involved in bullying. Methods: The systematic review was registered with PROSPERO: CRD42020192023. A search was conducted (until February 2021) across databases: PubMed/MEDLINE, EMBASE, PsycINFO (Ovid), Cochrane Library, Scopus (Elsevier), Web of Science, ERIC and CINAHL (EBSCOhost). Observational studies containing quantitative primary or secondary data analyses were included in the review, on the basis that they examined interactions, moderators, or mediators between bullying involvement and SHTB in young people. Versions of the Newcastle-Ottawa Scale were used to assess risk of bias in the included studies. Results: A total of 57 studies were included. Overall, 3 studies identified interactions, 25 studies identified moderators and 21 studies identified mediators. 9 studies identified moderator-mediators. The findings were categorised as either self-harmful thoughts or self-harmful behaviours and synthesised under the following themes: socio-demographic; depression; parental; personality/psychological; and social/environmental. Limitations: This review uncovered significant heterogeneity and a paucity of replicated studies in the field, therefore, tentative conclusions have been drawn. Conclusions: This comprehensive review highlights the key role of depression as a mediator between traditional/cyber victimisation and SHTB in young people. The moderating effects of gender on mediation models investigating the role of depression suggest the possibility that females involved in bullying may be at increased suicide risk.