BACKGROUND Although nearly all states in the United States require school districts to adopt anti‐bullying policies, little research examines the effect of these policies on student bullying and health. Using a statewide sample, we investigated associations between the quality of school district anti‐bullying policies and student bullying involvement and adjustment. METHODS School district anti‐bullying policies (N = 208) were coded for their quality based on established criteria. District‐level data were combined with student reports of bullying involvement, emotional distress, and school connectedness from a state surveillance survey of 6th, 9th, and 12th grade students (N = 93,437). RESULTS Results indicated that policy quality was positively related to bullying victimization. Furthermore, students reporting frequent perpetration/victimization who also attended districts with high‐quality policies reported more emotional distress and less school connectedness compared with students attending districts with low quality policies. Although statistically significant, the magnitude of these associations was small. CONCLUSIONS Having a high‐quality school district anti‐bullying policy is not sufficient to reduce bullying and protect bullying‐involved young people. Future studies examining policy implementation will inform best practices in bullying prevention.