Being bullied constitutes a traumatic experience for children and exhibits a high prevalence among this population. Numerous studies have demonstrated a strong association between being bullied and experiencing depression, but limited research has examined the reciprocal relationship between these variables in Chinese children. To address this gap, we conducted a two-year follow-up study using the Chinese version of Delaware bullying victimization scale-student (DBVS-S) and the Center for Epidemiological Studies Depression Scale for Children (CES-DC). A total of 676 primary school students participated in this study (at time 1: Mean age = 8.94, SD = 0.71, 51.8% male). The random intercept cross-lag analysis revealed a significant positive correlation between bullying victimization and depression among children at the between-person level. At the within-person level, an increase in bullying victimization can lead to a worsening of children's depression six months later. Similarly, a worsening of depression can also result in an increase in children's bullying victimization six months later. There were no significant gender differences observed in the interaction between bullying victimization and depression among children. Overall, our findings highlight a reciprocal relation between bullying victimization and depression in Chinese children. Specifically, changes of depression in the pretest (T[subscript n]) were found to influence changes in bullying victimization in the posttest (T[subscript n+1]) and subsequently impact changes in depression in the posttest (T[subscript n+2]). This reciprocal relation begins with the negative impact of childhood depression on bullying victimization. It is recommended to regularly monitor fluctuations in children's depressive emotions to prevent the formation of a vicious cycle between bullying victimization and depression.