The researchers are calling for more effective programmes to prevent bullying in schools.
The study is published in the British Medical Journal.
The research, from King's College London, also showed that victimised children with mental health problems were at greater risk of self-harming in later life.
In their paper the authors suggest that efforts should focus on improving the ways in which children cope with emotional distress.
"Frequent victimisation by peers increased the risk of self harm."