The current study examines the relationship between the total kinds of victimization (TKV) experienced, self-esteem, and internalizing symptoms (IS) and externalizing symptoms (ES). It also explores the mediator and/or moderator role of two self-esteem facets: self-liking (SL) and self-competence (SC). The sample comprised 736 adolescents recruited from eight secondary schools in Catalonia, Spain. The Rosenberg Self-Esteem Scale, the Youth Self Report, and the Juvenile Victimization Questionnaire were used to assess self-esteem facets (SL and SC), psychological distress (IS and ES), and the TKV suffered. This article has several innovative features. On one hand, it considers that self-esteem is comprised of two different but related factors: SL and SC. On the other hand, it is the first study to provide evidence for the mediator/moderator role of SL and SC between victimization and psychological symptoms, taking account of the TKV experienced. Results suggest that SL is more relevant to mental health than SC. A low sense of being a worthy social being (SL) is more closely related to both victimization and poor mental health than a low sense of personal efficacy (SC). Moreover, SL seems to partially mediate the relationship between TKV and both IS and ES, whereas SC only acts as a partial mediator for the TKV–IS relationship in girls. At the same time, SL acts as a partial moderator of the TKV–IS relationship in boys. These findings support the importance of self-esteem in buffering the impact of victimization on mental health and may indicate that proper prevention and treatment policies should focus on adolescents’ sense of being a good person, according to their own criteria of worth.