Autistic youth and youth with ADHD have heightened rates of bullying victimization, anxiety, and depression. The purpose of this research is to use nationally representative US data to 1) estimate the prevalence of anxiety and depression among bullied neurodivergent youth and 2) investigate whether the association between bullying victimization and anxiety or depression is significantly greater among autistic youth and youth with ADHD. For this research, we used five years of data (2016–2020) from the nationally representative National Survey of Children’s Health (NSCH), youth ages 12–17 years (n = 71,973). Data were analyzed with R and the R survey package to estimate average marginal percentages, risk differences, and additive interactions as recommended by STROBE guidelines. The study identified heightened anxiety and depression among bullied autistic or ADHD youth. Results also showed that the increase in the rate of anxiety or depression associated with bullying victimization was significantly greater among autistic youth and youth with ADHD relative to non-autistic non-ADHD youth; interactions were significant among both male and female youth. Autistic youth, youth with ADHD, and youth with co-occurring autism and ADHD are particularly vulnerable to bullying victimization and associated depression and anxiety. Future research is needed to understand why the association between bullying victimization and depression/anxiety is significantly greater among autistic and non-autistic ADHD youth. Recommendations include exploring school-wide anti-stigma initiatives to stop the reciprocal bullying–anxiety/depression cycle, routine bullying and mental health screening of autistic and ADHD youth, and clinical management of bullied autistic and ADHD youth with anxiety or depression.