Psychological mechanisms that may explain the link between peer victimization and its adverse outcomes are still understudied. The current study aimed to apply the Self-Regulatory Executive Function (S-REF) model of psychopathology (Wells & Matthews, 1994, 1996) to help explain this link in a sample of adolescents. A total of 1,169 Italian adolescents (47.7% females; M_age = 15.79, SD = 1.07) completed self-report measures of peer victimization, metacognitions, thinking styles (worry and rumination), and adjustment indices (somatic symptoms, anxiety, depression). The hypothesized model based on the S-REF model was tested through path analysis. Results confirmed that peer victimization was positively associated with both positive and negative metacognitions that, in turn, were linked to worry and rumination, which were associated with higher psychological and somatic problems. The strongest indirect links were found between peer victimization and anxiety via negative metacognitions and worry, and between victimization and depression via negative metacognitions and rumination. Overall, the results support to the application of the S-REF model to peer victimization experiences during adolescence. The clinical implications of these findings are discussed.