Background: Student-school connectedness is inversely associated with multiple health risk behaviors, yet research is limited on the relative contributions of a student’s connectedness with school and an overall context of school social cohesion to peer victimization/bullying. Purpose: We examined associations of perceived school cohesion and student-school connectedness with physical victimization, verbal victimization, and social exclusion in the past six months in adolescents in grades 6–11 ( N = 774) attending 11 public and private urban schools in Colombia. Methods: Cross-sectional data were collected via a self-administered questionnaire and analyzed using mixed-effects linear regression models. Results: Higher perceived school cohesion was inversely related with exposure to three bullying types examined ( p < 0.05); student-school connectedness was negatively related to verbal victimization among girls only ( p < 0.01). In full models, school cohesion maintained inverse associations with three bullying types after controlling for student-school connectedness ( p ≤ 0.05). Conclusion: Enhancing school cohesion may hold benefits for bullying prevention beyond a student’s individual school connectedness.