Objectives: Relationships with supportive adults during adolescence may be a protective factor that lowers the risks associated with bullying. The current study aimed to examine the moderating role of supportive adults in the associations between bullying involvement (in-person and cyber) and mental health problems (psychological symptoms and low life satisfaction). Methods: Data from 45 countries and regions taking part in the 2017/18 Health Behaviour in School-Aged Children study (N = 230,757) were used. Multivariable Poisson regression models were used to estimate relative risks of bullying on mental health. Effect estimates were compared across the number of supportive adults to examine a possible cumulative protective effect of relationships with supportive adults. Results: Bullying involvement was consistently associated with poor mental health across the 45 countries. Risk of mental health problems associated with bullying involvement was greatest among students reporting relationships with multiple supportive adults. This was true for all indicators of bullying involvement. Conclusion: Bullying remains a prevalent and harmful experience for youth worldwide. Merely having supportive adults is not sufficient in protecting youth from experiencing the mental health risks associated with bullying.