Bullying victimization is a chronic stressor that can make it difficult for victims to cope in more adaptive ways. Consequently, victims may engage in health risk behaviors such as substance use and sexual risk taking to cope with bullying experiences. However, the specific types of emotional problems (e.g., anxiety, depression) victims cope with remains unclear. Therefore, the purpose of the current study was to examine which mental health difficulties may function as pathways linking bullying victimization with both substance use and sexual risk taking in a sample of emerging adults (N = 650; 336 women, 314 men; M[subscript age] = 20.07, SD = 1.70). Mediation analyses provided some support for hypotheses. Bullying victimization had significant direct effects on substance use and sexual risk taking. In addition, bullying victimization had a significant indirect effect on substance use through depressive symptoms and significant indirect effects on sexual risk taking through anxiety symptoms and self-esteem. Emerging adults with a history of bullying victimization may use less adaptive coping strategies such as substance use and sexual risk taking to manage emotional problems such as depressive symptoms, anxiety symptoms, and/or low self-esteem.