This study used a 2-month prospective research design to examine the bi-directional interplay between peer victimization and social anxiety among adolescents. Participants included 228 adolescents (58% female) in grades 10–12. Three types of peer victimization were examined: overt (physical aggression or verbal threats), relational (malicious manipulation of a relationship, such as by friendship withdrawal), and reputational (damaging another’s peer relationships, such as through rumor spreading). Adolescents’ self-reported feelings of social anxiety and peer victimization experiences were assessed at two time points, in November and January of the same school year. Peer victimization was strongly related to adolescents’ social anxiety, and relational victimization explained additional unique variance. Moreover, peer victimization was both a predictor and consequence of social anxiety over time, with the most robust results found for relational victimization. Limited support was obtained for gender as a moderating variable. Findings highlight the deleterious effects of peer victimization, especially relational victimization, and suggest avenues for future research and clinical intervention for adolescents experiencing such victimization.