It has been consistently demonstrated that cyberbullying victimization is associated with poor mental health. This is of growing concern as access to the internet is increasing among adolescents. To ameliorate the negative impacts of victimization the role of coping self-efficacy has been extensively investigated in the context of face-to-face bullying, but has received little examination in the cyber context. The aim of the present study was to redress this omission by investigating the role of coping self-efficacy in mediating the relationship between cyberbullying victimization and depression. Adolescents aged between 11 and 16 years from independent schools in a large urban city in Australia participated in this study (51% Anglo/Celtic). High levels of cyberbullying victimization were related to high levels of depression. In addition, lower coping self-efficacy was related to higher depression, and this was evident for all the coping self-efficacy subscales. Consistent with research involving face-to-face victimization, it was shown that coping self-efficacy for avoiding self-blame and self-efficacy for proactive behavior partially mediated the relationship between cyberbullying victimization and depression. Implications of these findings for intervention programs and future research are discussed.