Cyber victimization has consistently been associated with internalizing difficulties in adolescents. However, the underlying psychological mechanisms linking this relationship have not been adequately examined. The present study aimed to investigate the mediational roles of coping self-efficacy and emotion dysregulation in the relationships between cyber victimization with depression and social anxiety. Participants were 459 students (199 girls) from independent middle-class schools in grades 8 (M age = 13 years 9 months) and 10 (M age = 15 years 7 months). They completed a self-report questionnaire about cyberbullying participation, internalizing symptoms, coping self-efficacy, and emotion dysregulation. Structural equation modeling revealed that most domains of coping self-efficacy and emotion dysregulation partially mediated the relationship between cyber victimization and depression, and fully mediated the relationship between cyber victimization and social anxiety. The results highlight the importance of targeting these mediating factors in intervention programs to reduce the negative impact of cyber victimization on adolescents.