Limited evidence on the association of being bullied with depression among adolescents was found in Malaysia. This study aimed to determine the association of being bullied and depression among Malaysian school-going adolescents. Data from the National Health and Morbidity Survey 2017, a cross-sectional study conducted from March to May 2017, was analyzed using descriptive and multiple logistic regression analysis. A validated tool, the Depression, Anxiety, and Stress Scale-21 was used to categorize those with moderate or higher levels of depressive symptoms as having depression. A total of 27 399 school-going adolescents participated and 18.3% were found depressed. Adolescents of Indian ethnicity (adjusted odds ratio [aOR] = 2.02, P < .001), those with parents living apart (aOR = 1.41, P < .001), and those who were being bullied (aOR = 2.98, P < .001) were more likely to have depression. This study demonstrated the association between being bullied and having depression. Comprehensive preventive strategies should be implemented taking into consideration the findings from this study.