Bullying affects the health and development of children and adolescents. This study examined the relationships between depression and students’ profiles in regard to their involvement with bullying (as victim, bully, or bully-victim), among students transitioning to middle school. A total of 408 6th grade students (54.9% girls; mean age = 11.3 years; SD = 0.62 years) from six Brazilian public schools participated in this study. The participants completed the Aggression and Peer Victimization Scale and the Children’s Depression Inventory. Data were analyzed using variance analysis (ANOVA), Spearman’s correlation coefficient, and logistic regression. Bully-victim were nine times more likely to be depressive compared with students not involved with bullying (β = 2.246, OR = 9.44, p = 0.002), while victims were six times more likely (β = 1.843, OR = 6.31, p = 0.010). Among girls, depression was significantly correlated with all forms of bullying and victimization (physical, verbal, relational). Among boys, only verbal and relational victimization was significantly correlated with depression. This study’s results contribute to understanding the relationship between depression and bullying during school transition.