The present short‐term longitudinal study examined prospective associations between two forms of peer victimization (i.e., physical, relational) and both externalizing and internalizing problems in early childhood. The study assessed 97 children (42 girls; M age = 45.22 months, SD = 6.99) over the course of one school year with assessments occurring at the end of each semester (approximately 6 months apart). Multiple methods were used to collect data over the course of one school year to test theoretically driven hypotheses. Cross‐lagged path analyses were conducted, revealing significant associations between relational victimization and increases in depressive symptoms. On the other hand, relational victimization was also significantly associated with decreases in externalizing problems (e.g., inattention, deception/lying) and increases in prosocial behavior. Physical aggression predicted increases in physical victimization, supporting hypotheses that children displaying physically aggressive behavior are likely to be reactive to negative peer interactions and endure future victimization.