Although the preventive role of self-efficacy for school bully has been well established, less is known as with the association between self-efficacy and problem behaviors adoption among children who are already school bully victims. In this cross-sectional study, we examined the clustered nature of problem behaviors among school bully victims and tested problem behavior clusters’ association with self-efficacy using latent class analysis and multinomial logistic regression. Participants included 262 Chinese rural students who were recognized as being regularly bullied while without bullying behaviors in school in the past 3 months (60.1% male, age range 12–16). We found that the victims could be categorized into three different groups according to their problem behaviors pattern, namely the “externalizing and internalizing behaviors” group, the “internalizing behaviors” group, and the “less-affected” group. After controlling for the covariates (i.e., gender, age, living arrangement, and relationship quality with father and mother), we found that higher self-efficacy indicated higher probability of falling into the group with relatively less negative influence from school bullying. We also found that gender, living arrangement, and relationship quality with mother were associated with bully victims’ problem behaviors pattern. The comorbidity between and within childhood externalizing and internalizing behaviors and self-efficacy’s association with different problem behavior patterns were discussed. The future research should test the causality between self-efficacy and problem behaviors of bully victims, as well as the effectiveness of self-efficacy enhancement intervention for victims adopting different problem behavior patterns.