Background Elevated social anxiety is more likely among bullied children than those who have not been bullied but it is not inevitable and may be influenced by cognitive factors. Lower self-esteem and more external locus of control are associated with bullying and social anxiety but the impact of these factors over time among bullied children is less clear. Method Children from the UK Avon Longitudinal Study of Parents and Children (ALSPAC) reported bullying experiences at age 8 (n = 6,704) and were categorized according to level of bullying exposure. The impact of self-esteem and locus of control on social anxiety was assessed up to age 13 across the bullying exposure groups using multi-group latent growth curve analysis. Complete data was available for 3,333 participants. Results More external locus of control was associated with a steeper increase in social anxiety among severely bullied children [B = .249, p = .025]. Although self-esteem at age 8 was associated with existing social anxiety it did not predict later increases in social anxiety. Conclusion These results indicate that beliefs about lack of personal control among severely bullied children may contribute to increasing social anxiety over time. Exploring related cognitions may be helpful in this potentially vulnerable group.