Background: Although depressive symptoms are common among adolescents who experience school bullying victimization, these symptoms show heterogeneity and seriously affect individuals’ physical and mental health. Our current understanding of the latent classes of depressive symptoms and their transition characteristics over time among adolescents who persistently experience school bullying victimization remains limited. Therefore, it is necessary to use latent transition analysis to identify different depressive symptom patterns and further examine the longitudinal stability and transition trajectories of these patterns. Methods: This retrospective study included 785 adolescents who reported experiencing school bullying victimization at both time points (T1 and T2). Among them, 60.9% were boys, with a mean age of 13.92 ± 1.69 years at T1 and an age range of 11 to 19 years. Participants completed a two-wave survey over a 12-month period. Latent transition analysis (LTA) was conducted to identify latent profiles of depressive symptoms and examine transitions between profiles over time. In addition, physical activity, sleep duration, and substance use were examined as predictors of transitions between depressive symptom profiles. Results: The depressive symptom profiles of adolescents who persistently experienced school bullying victimization were classified into the Low Symptom group, Moderate Symptom group, and High Symptom group. The proportions of these groups were 58.4%, 30.9%, and 10.7% at T1, and 32.1%, 45.3%, and 22.6% at T2, respectively. Overall, the profiles showed either class stability or transitions toward more severe symptom groups, with the High Symptom group showing a 75.8% probability of remaining in the same class at T2. Physical activity, sleep duration, and substance use were all important predictors of depressive symptom transitions among adolescents who persistently experienced bullying victimization. Specifically, physical activity and sleep duration were important protective factors (p < 0.001), whereas substance use was a negative influencing factor (p < 0.001). Conclusions: Depressive symptoms among adolescents who persistently experience bullying victimization show dynamic transition characteristics, and health behaviors significantly influence symptom evolution. These findings suggest that interventions should focus on improving health behaviors to alleviate or prevent the worsening of depressive symptoms.