Background: Intervention strategies and developmental models of stress have been criticized for failing to integrate social psychological variables. This study investigates both self-referential cognitive mediators (perceived threat and control) and a social psychological moderator (ethnic/religious identity) of the effect of peer-victimization upon depressive symptomatology. Methods: Self-report questionnaires were completed by 924 students (46% female), aged 8 to 12 years. Experiences of discriminatory and non-discriminatory peer-victimization, threat and control appraisals, depressive symptoms, and strength of main identity were assessed. Results: Perceived threat partially mediated the effect of peer-victimization (regardless of whether it was discriminatory or not) on depressive symptoms. Perceived control partially mediated the effect of non-discriminatory peer-victimization on depressive symptoms. Strength of ethnic/religious identity buffered the effect of peer-victimization on depressive symptoms. Victimization perceived to be discriminatory in nature was more strongly associated with depressive symptoms than non-discriminatory victimization. Conclusions: Findings support calls for a greater emphasis to be placed on social psychological variables in explaining depressive symptomatology. For clinical, counseling and intervention purposes, it is important to examine whether victims perceive peer-victimization as discriminatory and whether their own strength of identity affects symptomatology.