Purpose <p>The current study examined the association between prior-, recent-, and long-term peer bullying with psychological distress (i.e., depression, anxiety) and the protective role of school connectedness and extracurricular involvement among youth in the Future of Families and Child Wellbeing Study (FFCWS).</p> Methods <p>Data from the FFCWS were analyzed. Bullying victimization was self-reported at ages 9 and 15 via the Peer Bullying Scale. Prior bullying was defined as bullying at age 9 only, recent bullying as bullying at age 15 only, and long-term bullying as bullying experiences in both years. Depression and anxiety were measured at age 15 using the Center for Epidemiologic Studies Depression Scale and the Brief Symptom Inventory, respectively. School connectedness and extracurricular involvement were queried and self-reported at age 15. Multivariable linear regression was used to measure associations between key study variables.</p> Results <p>Two thousand one hundred seventy-five adolescents (aged 15.5 ± 0.68 years; 50% non-Hispanic Black; 49% female) were included in the sample. Among the sample participants, 39.4% of adolescents had no experience with bullying, 43.0% had prior bullying, 5.7% with recent bullying, and 11.9% with long-term bullying. Prior (β: 0.60, <i>p</i> &lt; 0.01), recent (β:1.83, <i>p</i> &lt; 0.01), and long-term (β: 2.65, <i>p</i> &lt; 0.01) bullying were each associated with higher anxiety scores; school connectedness and extracurricular involvement were not significant moderators (<i>p</i>s &gt; 0.05). Recent (β:1.89, <i>p</i> &lt; 0.01), and long-term (β: 2.14, <i>p</i> &lt; 0.01) peer bullying was associated with higher depression scores, with school connectedness moderating the association between recent bullying and depression (p_{<i>interaction</i>}&lt;0.01).</p> Conclusion <p>Increasing a sense of belonging among students (i.e., school connectedness) may help buffer the adverse effects of bullying on depression among adolescents.</p>