Existing research suggests a robust association between childhood bullying victimization and depressive symptoms in adulthood, but less is known about potential mediators of this link. Furthermore, there is limited cross-national research evaluating similarities and differences in bullying victimization and its associations with mental health. The current study addressed gaps in the literature by evaluating cognitive and affective responses to stress (i.e., emotion regulation, rumination, and distress tolerance) as potential mediators of the link between recalled bullying victimization and current depressive symptoms among 5909 (70.6% female) college students from seven countries. Results revealed specific indirect associations of bullying victimization through distress tolerance and three out of four facets of rumination, as well as a persistent direct association of childhood bullying on adulthood depression. Emotion regulation strategies were not significantly associated with bullying victimization and did not mediate its association with depressive symptoms. Constrained multigroup models indicated that results were invariant across country and gender. Findings provide evidence of statistical mediation in a cross-sectional sample and await replication in prospective studies. Rumination and distress tolerance may be promising targets for resilience-promoting interventions among children experiencing peer victimization. Ongoing research is needed to clarify cross-national patterns in childhood bullying, identify additional mediators accounting for the remaining direct association, and evaluate emotion regulation as a potential moderator of associations between bullying victimization and adult mental health.