Cyberbullying is a global problem with significant negative implications, especially among more vulnerable populations, such as adolescents. Previous research suggested that cyberbullying is significantly associated with depression, and anxiety seems to partially or fully mediate this relationship. We aimed to investigate the prevalence and the relationships between cyberbullying status (i.e., cyberbully, cyber victim, double role, or non-cyber), gender, and age. We also explored the mediating roles of state and trait anxiety on the relationship between adolescents’ cyberbullying victimization, cyber-aggressiveness, and depression. Our sample consisted of 501 middle adolescents aged from 12 to 15 years (M = 14.00; SD = 0.80; 51.1% males). The results suggested no significant associations between participants’ status, gender, or age. Mediation analyses suggested that the relationship between cyber-victimization, cyber-aggressiveness, and depression was mediated by state anxiety and not trait anxiety. We discuss the implications of the current findings in understanding cyberbullying’s psychological consequences and their relevant practical implications for prevention and intervention programs.