Appraisals are a key, but understudied part of the coping process. In the current study, the mediating role of threat appraisals in the relation between relational and physical victimization by peers and internalizing and externalizing problems was investigated in a sample of 155 Italian adolescents (52% female; M age = 12.2 years) using a cross‐sectional design. Structural equation modeling revealed that appraisals of threat (negative self‐evaluation, negative evaluation by others, loss of relationship) mediated associations between peer victimization and internalizing problems. Moreover, peer victimization affected externalizing behaviors, but this link was not mediated by threat appraisal. Implications for interventions with youth are discussed.