The present longitudinal study examined how and why classroom-level victimization moderates the prospective association between peer victimization and depressive symptoms with 2,643 third- and fourth-graders (M_age = 10.01 years) in China. Multilevel modeling revealed that peer victimization was more strongly associated with increasing depressive symptoms in classrooms with lower classroom-level victimization. Moreover, two mechanisms were identified to explain the moderating effect of classroom-level victimization. First, low classroom-level victimization reduced victimized children’s received friendship nominations from peers, thereby leading to increases in depressive affect. Second, low classroom-level victimization affected victimized children’s depressive symptoms through damage to their social self-concept. These findings provide support for the “healthy context paradox” in the Chinese culture, and highlight the mechanisms of this phenomenon.