Objective To investigate the strength of the association between victimisation by peers at age 13 years and depression at 18 years. Results Of the 683 participants who reported frequent victimisation at age 13 years, 101 (14.8%) were depressed according to ICD-10 criteria at 18 years; of the 1446 participants reporting some victimisation at age 13 years, 103 (7.1%) were depressed at age 18 years; and of the 1769 participants reporting no victimisation at age 13 years, 98 (5.5%) were depressed at age 18 years. Compared with children who were not victimised those who were frequently victimised by peers had over a twofold increase in odds of depression (odds ratio 2.96, 95% confidence interval 2.21 to 3.97, P<0.001). This association was slightly reduced when adjusting for confounders (2.32, 1.49 to 3.63, P<0.001). The population attributable fraction suggested that 29.2% (95% confidence interval 10.9% to 43.7%) of depression at age 18 years could be explained by peer victimisation if this were a causal relation. Conclusion When using observational data it is impossible to be certain that associations are causal. However, our results are consistent with the hypothesis that victimisation by peers in adolescence is associated with an increase in the risk of developing depression as an adult.