Cyber victimization is a serious risk factor for the manifestation of depressive symptoms in adolescents. However, little is known about the mediating and moderating mechanisms underlying the relationship between these factors. The present study sought to determine whether psychological insecurity mediated the relationship between cyber victimization and depressive symptoms in adolescents. Additionally, this study sought to determine whether this mediating process was moderated by perceived social support. A sample of 793 Chinese adolescents (mean age = 14.41 years, SD = 1.70) completed questionnaires regarding their experience with cyber victimization, psychological insecurity, perceived social support, and depression. Results showed that (a) after controlling for demographics and traditional offline victimization, cyber victimization uniquely predicted a greater prevalence of depressive symptoms; (b) psychological insecurity partially mediated the relationship between cyber victimization and depressive symptoms in adolescents; and (c) perceived social support moderated the direct and indirect paths such that the relationship between psychological insecurity and depression was weaker for adolescents with higher levels of perceived social support (i.e., the stress-buffering effect), but the relationship between cyber victimization and psychological insecurity/depression was stronger for adolescents with higher levels of perceived social support (i.e., the reverse stress-buffering effect). This study contributes to research clarifying the mediating and moderating mechanisms involved in the development of depression among adolescents reporting cyber victimization.