Abstract Aims Compared to their heterosexual peers, youth who identify as lesbian, gay or bisexual (LGB) tend to suffer higher rates of peer victimisation from bullying. However, studies of LGB adolescents' participation as bullies are scarce. We aimed to examine the possible association of sexual minority identity and the heightened risk of not only being bullied but bullying others as well. We also explored the effect of one's sexual identity on their involvement in bullying through the mediation of coping strategies and mood states. Methods A total of 12 218 students were recruited from 18 secondary schools in China. The demographic information, positive and negative coping strategies, mood state (anxiety, depression and hypomania) and information related to bullying and being bullied were collected. Multinomial regression was used to assess the heightened risk of sexual minority groups in comparison to their heterosexual adolescents' counterparts. A structural equation model (SEM) was used to test the mediating role of coping strategy and mood state between one's sex, sexual identity and bullying experience. Results Two trends could be observed: (1) LGB groups reported heightened risks of being bullied and bullying others at school than heterosexual peers. However, being a sexual-undeveloped girl seemed to have a protective effect on bullying-related problems. (2) Birth-assigned males were more likely to be bullied as well as bullying others at school when compared to birth-assigned females. SEM analysis revealed that being a sexual minority was directly associated with a higher frequency of being bullied (B = 0.16, 95% CI [0.10, 0.22], p < 0.001) but not bullying others (B = 0.02, 95% CI [−0.02, 0.06], p = 0.398) when compared to the heterosexual group. Negative coping, hypomania, anxiety and depression were associated with a higher frequency of being bullied, while positive coping was associated with a lower frequency of being bullied. Moreover, negative coping, hypomania and depression were associated with a higher frequency of bullying others, while positive coping was associated with a reduced likelihood of bullying others. In addition, being bullied and bullying others were significantly correlated in the SEM model. Conclusions This novel research investigated the dynamic nature of the interaction between victim and bullying of LGB school adolescents in China, with a specific exploration of the psychological mechanism behind the pattern of being bullied and bullying others. School-level interventions aimed at teaching positive coping strategies to lower psychological distress are recommended to support sexual minority students.