Background: Exercise reduces the odds of sadness and suicidality in bullied students, but the role of the bullying environment on this relationship remains unknown. Methods: Using combined data from the 2013 and 2015 Youth Risk Behavior Survey (N = 29,207), adjusted logistic regression models estimated odds ratios between exercise, sadness, and suicidal ideation and attempt, stratified by bullying exposure (electronically/at school). Results: Overall, 40.2% of students bullied at school and 48.3% of students bullied electronically reported feeling sad, compared to 22.6% of those not bullied. Bullied students were 2-3 times more likely to report suicidal ideation, and 3-4 times more likely to report suicidal attempt, regardless of bullying context. Students who were bullied at school and exercised 4-7 days per week had lower odds of sadness (adjusted odds ratio [AOR]: 0.64; 95% confidence interval [CI]: 0.51-0.81), suicidal ideation (AOR: 0.66; 95% CI: 0.53-82), and suicidal attempt (AOR: 0.69; 95% CI: 0.48-0.98) compared to those who exercised 0-3 days. There were no protective effects of exercise for students bullied electronically. Conclusions: Exercise reduced sadness and suicidality in adolescents bullied at school but not for students who were cyberbullied. Bullying environment should be a primary consideration in school mental health treatment and maintenance paradigms.