Introduction: Bullying is an increasing concern for education, health, and policy. Adolescence is a particularly vulnerable period for the development of depressive symptoms and suicidality following exposure to bullying. However, limited research investigating the potential impact of depressive symptoms on the bullying-suicide relationship exists. Methods: Using national data (N = 13,677) from the most recent 2019 Youth Risk Behavior Survey, the aim of the present study was to examine the prevalence among adolescents' (school/electronic) bullying victimization, depressive symptoms (sadness; sleep), and suicide ideation as well as their associations including direct and indirect relationships including exploring differences by gender and race/ethnicity. Results: Descriptive results indicated an increase in the prevalence of adolescents being bullied (both on school property and electronically), experiencing feelings of sadness, and hopelessness as well as a decrease in getting more than 8 h of sleep between 2017 and 2019. In 2019, over one-third of respondents felt sad or hopeless almost every day for 2 weeks or more in a row, which stopped them from doing some usual activities. Structural equation modeling indicated that (school/electronic) bullying was directly associated with feelings of sadness/hopelessness and suicide ideation, with sadness mediating the link between bullying and suicide ideation. Conclusion: Now more than ever, it is critical to promote the collaboration between educators, mental health specialists, policymakers, and researchers to develop and implement evidence-based strategies and approaches to preventing and reducing both bullying victimization and the associated psychological distress and mental health outcomes.