Bullying victimization is a pervasive problem nationwide and is related to students' psychological distress, including increased loneliness, anxiety, depression, helplessness, and suicidal behaviors. Importantly, not all students respond to peer victimization in the same way. This study examined the effectiveness of students' coping strategies in response to bullying as a function of their grade level, gender, and form of victimization. Students in grades five through twelve (N = 2627) completed surveys assessing coping strategy effectiveness and associated emotional distress related to self-reported peer victimization. In general, findings indicated that the most effective coping strategies in response to bullying victimization were support-seeking strategies, use of humor, and cognitive restructuring. However, effectiveness for all strategies (with the exception of peer support) varied by grade level, gender, and form of victimization. Strategies were also more effective for relational victimization than they were for physical victimization. Moreover, although students identified several effective coping strategies, only the use of cognitive restructuring was related to lower levels of associated emotional distress, an important component of effective coping. As such, bullying prevention programs should target students' psychological processes in developing effective interventions. Implications for prevention and intervention efforts are discussed.