Bullying among adolescents is associated with different mental health issues, for both victims and aggressors. This association has been evidenced in different contexts, but its relationship to other aspects of schooling, such as school climate, have not always been considered. The purpose of this study was to examine how school climate—as perceived by students—is associated with the roles of victim and aggressor in bullying situations, and problems of internalizing and externalizing behaviors among adolescents. To this end, a sample of 366 adolescent students were asked to self-report on school climate; bullying in terms of victimization and aggression; and internalizing and externalizing behaviors. A negative association was evidenced by means of structural equations between school climate and victimization, as well as a positive association between victimization and internalizing behaviors. A positive relationship was found between bullying aggression and externalizing behaviors, although school climate did not predict aggression levels. These results reinforce the importance of considering schooling dimensions to understand bullying and its consequences on the mental health of adolescents, particularly for bullying victimization and its relation to internalizing behaviors.