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Objectives: The relationship between bully victimization and depression has been examined extensively with prior research showing long-term cascade of problems stemming from both exposure to victimization and depressive symptomology. However, prior research has failed to consider how protective factors may mitigate these long-term problems. Three theoretical models were tested: the interpersonal risk model, symptom driven model, and transactional model. Methods: The present study employs a novel statistical technique to explore longitudinal reciprocal associations among bullying, depression, and school belonging in a sample of 2177 middle school students (ages 11 to 15) in a Midwestern state. We used a model building process to explore the overall association between bully victimization, depression, and school belonging as well as a multi-group model in which models were estimated for boys and girls, separately. Results: In our overall model, results indicated support for both symptom driven and interpersonal risk models. However, we did not find any significant buffering effect of school belonging. In our multi-group model, we found support for a buffering effect of school belonging for girls, but not boys. School belonging buffered long term problems associated with experiences of bully victimization via reductions in depression. Conclusions: Our findings point to the broader concept of school structure being differentially supportive and protective for various demographic groups and the need to consider the entire social ecology of a school when planning and implementing prevention interventions. [ABSTRACT FROM AUTHOR]