Abstract Background The significant psychosocial harms from bullying among adolescents create major challenges for mental health promotion programs and services in schools. While the negative consequences of bullying victimisation are well known, to date there is scarce empirical analysis of inverse associations, in which mental health problems make children more vulnerable to bullying victimisation and perpetration. Based on a short-term longitudinal study among adolescents in Vietnam, this study examined reciprocal associations between children’s depressive symptoms, psychological distress, suicidal ideation and bullying victimisation experiences (i.e., victims or bully-victims). Methods Secondary and high school students (n = 1167; age range: 11–16 years old; 55% female) in urban areas in northern Vietnam completed two self-administered questionnaires, 6-months apart in the academic year 2014–2015. Measures estimated bullying victimisation and perpetration in the past 6 months, depressive symptoms, psychological distress, and suicidal ideation. A cross-lagged analysis was performed to test the reciprocal associations. Results About one-third of students in the sample were involved as victims, bullies or bully-victims at both times, with more males than females reporting these experiences. Females reported a higher level of depressive symptoms than males at Time 1 but not at Time 2. After adjusting for outcome variables and other covariates measured at Time 1, nine of 12 cross-lagged associations across three models were statistically significant, with different patterns for females and males. There were reciprocal associations between bullying victimisation and mental health problems. Bullying victimisation was shown as an independent predictor of subsequent mental health problems; in turn, mental health problems preceded students’ experience of becoming victims or bully-victims. Females with mental health problems were more likely to be victims; whereas similarly distressed males were vulnerable to both being bullied and being perpetrators. Conclusion This study is the first of its kind in Vietnam and in the Southeast Asian region to examine reciprocal associations between bullying victimisation and mental health problems among adolescents. Anti-bullying intervention and prevention programs and school-based mental health promotion programs should be integrated and be sensitive to gender differences in order to maximise their impact.