Bullying and peer victimization are stressful experiences for youth, and are associated with increased risk for psychopathology. Physiological differences in the body’s stress response system may help us to understand vulnerability for depressive symptoms among youth involved with bullying. The current study examined both sympathetic and parasympathetic activity using skin conductance (SCL) and respiratory sinus arrhythmia (RSA) at a neutral baseline and during Cyberball, a stressful social exclusion paradigm. Participants consisted of 175 youth in grades 6–11 (mean age 13.6 years, 51% girls). Multilevel modeling was used to examine changes in both positive and negative affect, and physiological stress reactivity over time. Logistic regression was used to examine the associations between bullying, victimization, and RSA on depressive symptoms. Peer victimization was negatively associated with resting RSA. Bullying others was negatively associated with SCL during Cyberball. Additionally, RSA reactivity during acute stress moderated the link between victimization and depressive symptoms. Victimization was more strongly associated with depressive symptoms when youth also demonstrated blunted RSA reactivity. These results suggest that both victimized youth and those who bully others have differences in their autonomic responses to acute stress. Individual differences in stress physiology may help us to understand vulnerability and resilience to depressive symptoms in the context of bullying and victimization.