Victimization by bullying among adolescents is a widespread phenomenon associated with depression and suicidal ideation. Coping with bullying may include aggressive responding and self-blame. The purpose of this study was to examine the role adolescent self-blame and aggression - representing coping with peer bullying - in depression and suicide ideation. We recruited 97 "pure" victims (41 girls; mean age = 12.69, = .80) identified from a sample of 505 adolescents (242 girls; mean age = 12.73, = .81) from two Israeli high schools. Self-report questionnaires were used to assess victimization, aggressive responses, self-blame, depression, and suicide ideation. Self-blame in the face of peer bullying was uniquely associated with both depression and suicide ideation. The effect was robust even after controlling for level of victimization. No direct effect of aggressive coping or moderating effects of self-blame or aggression on the association between victimization and depression/suicide ideation were found. This study used a cross-sectional design and made exclusive use of self-report measures. Adolescents who blame themselves for being bullied might be at a heightened risk for depression and suicidality compared to adolescents who did not use self-blame.