Utilizing a risk and protective factors approach, this research examined the relationship between self-reported depressive symptomatology, group membership (bully, victim, bully–victim) risks, and protection among a sample of African–American youths. Self-report data were collected in spring, 2002. Youth in grades 5–12 were sampled (n = 1,542; 51% female) from an urban school district in the Southeast. African–American youths self-identifying as bullies, victims, or bully–victims, reported higher levels of depressive symptoms compared to their nonbullied–nonvictimized counterparts. Additionally, multivariate results highlight a significant set of risk and protective factors associated with depressive symptomatology, even after controlling for the effects of self-identified group membership. These findings further contribute to our general understanding of the interplay among bullying, victimization, risk and protective factors, and their effects on depressive symptoms among a group of understudied African–American youth.