This study explores the multifaceted dynamics of ethnic victimization at school. Previous research has focused on the harmful consequences among victims of bullying; through this study, we seek to shed light on the understudied role of various social capital factors in mitigating the harm of ethnic bullying in terms of victims’ emotive symptoms. We employ a large set of data on Italian high school students collected in 2023. Through a multilevel analysis, we find that individual social capital factors are associated with emotive symptoms among ethnically bullied students. Most social capital factors reduce the severity of emotional symptoms among victims, with peer connectedness and teachers’ intervention in case of bullying identified as the most important in this respect. Instead, rule clarity and those factors that promote the expression of victims’ emotions and enhance their consciousness amplify victims’ emotional symptoms. Interestingly, at the school level, only a few of them emerge as significant. These findings can lay the groundwork for educational policies and interventions aimed at promoting students’ adaptation and well-being through the maximization of social capital.