Bullying in school has become a public health problem. Among the various bullying's risk factors, the vulnerabilities associated with socio-emotional skills stand out. The present study aims to explore the relationship between bullying, victimization, self-concept, and empathy; to test differences in victimization and bullying between boys and girls; and to study predictors of victimization and bullying. Participated 107 adolescents from 12 to 17 years old characterized by multiple family, social, and economic vulnerabilities. Three measures were used to assess empathy, self-concept, and bullying/victimization experience. The results show a significant negative correlation between victimization and all dimensions of self-concept. Bullying is only associated to popularity. There is no association between empathy and bullying or victimization. Girls significantly experienced more victimization than boys. Boys performed more bullying than girls. Self-concept is a significant predictor of victimization and bullying. Results are discussed in light of the socio-emotional skills paradigm and its power in preventing bullying.