The objective of this study was to examine the mechanisms (the mediating role of psychological security and the moderating role of growth mindset) underlying the association between cyberbullying victimization and depression among adolescents. A sample of 755 adolescents (M_age = 13.35 ± 1.02; 373 boys) was recruited from two junior high schools, and the participants were asked to voluntarily complete a set of measures, including the cyberbullying victimization subscale in the Chinese version of the Cyberbullying Inventory, the Chinese version of the Security Questionnaire, the Chinese version of the Center for Epidemiologic Studies Depression Scale, and the Growth Mindset Inventory. The results indicated that: (1) cyberbullying victimization was positively associated with depression through the mediating effect of psychological security and (2) both the direct association between cyberbullying victimization and depression and the indirect association through the mediating effect of psychological security were moderated by growth mindset. Specifically, growth mindset could significantly alleviate the adverse effects of cyberbullying victimization on psychological security and on depression. These findings not only shed light on the mechanisms linking cyberbullying victimization to depression among adolescents, but also provide an empirical basis for formulating prevention and/or intervention programs aimed at reducing depression levels and the negative influences of cyberbullying victimization among adolescents.