Not all children exposed to peer victimization experience the same type or the same degree of negative outcomes; there is heterogeneity in outcomes. This study examined coping self-efficacy as a mediator of the relationship between peer victimization and psychological maladjustment in order to gain an understanding of this heterogeneity in children's responses to victimization. In this study, 2,161 children (1,071 females and 1,090 males), ranging in age from 10 to 15 years, 63% White, 17% Middle-Eastern, 10% Asian, and 10% from other ethnic groups, participated. Results from the mediational analysis revealed that four coping self-efficacy domains differentially mediated the relationship between peer victimization and social anxiety, cognitive depression, and externalizing symptoms. These findings highlight the importance of increasing children's coping self-efficacy for proactive behavior, avoiding self-blame, victim-role disengagement, and avoiding aggressive behavior in order to attenuate the negative psychological outcomes of peer harassment.