Cyberbullying, the harassment of others via new technologies, is a growing phenomenon with important consequences for its victims. Despite the growing interest in this new form of violence, only a few longitudinal studies have analyzed the relationship between cyberbullying victimization and psychological problems, such as depression, in adolescents. Furthermore, the mechanisms through which cyberbullying victimization contributes to the development of depressive symptoms remain almost unexplored. The current study assesses whether cyberbullying victimization predicts the increase in depressive symptoms over time and the role of body image and cognitive schemas in the association between cyberbullying victimization and depression. We hypothesized that victims of cyberbullying would develop a negative body image, the belief that others would hurt them and that they were defective to some degree, and that, as a consequence of these cognitions, they would increase their symptoms of depression. A sample of 1015 adolescents (mean age = 15.43, SD = 1.09) completed measures of depressive symptoms at three waves (T1, T2, and T3) spaced 6 months apart, measures of body image and cognitive schemas at T1 and T2, and measures of CB victimization at T1. Findings indicated that CB victimization at T1 predicted a worsening of body image and cognitive schemas of mistrust and defectiveness at T2, and those changes in cognitions predicted in turn an increase in depressive symptoms from T2 to T3. Gender differences were also examined. The model was very similar for boys and girls. However, changes in body image acted as a mediator between CB victimization and depression only in girls. Therefore, this study contributes to clarifying the cognitive mechanisms involved in the development of depression among victims of CB. These findings suggest that intervention programs with victims of CB should address the cognitions that are relevant for the development of depression.