Bullying is an aggressive and repetitive behavior, where one person or several people physically, socially, or emotionally harm a vulnerable person and provokean imbalance of power in a school setting. Several factors such as age, sex, school performance, psychological factors, and ethnicity have been associated with bullying and more are being sought. Thus, the objectives of this study were as follows: (1) analyze the differences in bullying (victimization and aggression) and self-concept (academic, social, emotional, family, and physical) with respect to sex, school location, and educational level among Spanish adolescents; (2) explore the associations of bullying and self-concept with these sociodemographic dimensions. A cross-sectional study was designed with a total of 1155 participants (between 12 and 18 years old); there were 48.8% boys and 51.2% girls, where 75.9% studied compulsory secondary education (CSE) and 24.1% Baccalaureate, and 31.9% were students from rural schools and 68.1% were from urban schools. Medium and inverse correlations were shown between victimization and self-concept at the general level, for both sexes, both types of school, and both educational stages. For the aggression dimension, the correlations with self-concept were inverse at the general level (low), in girls (low), in rural students (medium), and in compulsory secondary education students (medium). For academic self-concept and family self-concept, the associations were medium and inverse with bullying in all variables. For emotional self-concept the correlation with bullying was direct and medium in all variables; in physical self-concept, the correlations with bullying were inverse in almost all variables except in boys. Self-concept may be a protective factor for bullying and interventions should aim at adolescents building a positive multidimensional self-concept that prevents and protects them from bullying either as aggressor or victim.