Objective: This study aimed to explore longitudinal associations between bullying victimisation, coping, and self-harm among adolescents living in a diverse, densely-populated urban population in London, United Kingdom. Method: Data on bullying victimisation, dispositional use of four coping strategies (active, avoidant, distraction, support seeking), and self-harm were drawn from REACH (Resilience, Ethnicity and AdolesCent mental Health), an accelerated cohort study of adolescent mental health in South London. Data was available for 3,060 adolescents aged 11–14 years (Mage = 12.4, 50.6% girls, > 80% ethnic minority groups) who were followed up 12 months’ later. Models used a combination of inverse probability weights with multiple imputation. Results are presented as adjusted risk ratios (aRRs), with all analyses adjusting for baseline self-harm, sex, age, free school meals and ethnic group. Results: Bullying victimisation at baseline was associated with self-harm at one-year follow up (aRR 1.66). Avoidant (aRR 1.36) and distraction (aRR 1.20) coping were associated with increased risk of self-harm. Active (aRR 0.74) and support seeking (aRR 0.78) coping were associated with decreased risk. None of the coping strategies moderated the association between bullying victimisation and self-harm, and no clear sex differences were found for any results. Conclusions: Findings underline the importance of tackling bullying and promoting coping as part of a wider holistic approach to modifying the impact of adverse experiences. Among victims of bullying, future research should investigate situation-specific measures of coping, as this will better explain how young people cope specifically with this form of childhood adversity.