Self-harm is widely recognized as a significant adolescent social problem, and recent research has begun to explore its etiology. Drawing from Agnew’s (1992) social psychological strain theory of deviance, this study considers this issue by testing three hypotheses about the effects of traditional and cyber bullying victimization on deliberate self-harm and suicidal ideation. The data come from a school-based survey of adolescents in a rural county of a southeastern state (n = 426); 50% of subjects are female, their mean age was 15 years, and non-Hispanic whites represent 66% of the sample. The analysis revealed that both types of bullying are positively related to self-harm and suicidal ideation, net of controls. Moreover, those relationships are partially mediated by the negative emotions experienced by those who are bullied and partially moderated by features of the adolescent’s social environment and self. Regarding the latter, exposure to authoritative parenting and high self-control diminished the harmful effects of bullying victimization on self-harm and suicidal ideation. The article concludes by discussing the implications of these conclusions for future research and for policy efforts designed to reduce self-harm.