Cyberbullying among adolescents has negative consequences for their mental health, especially when it comes to depressive symptoms. Previous studies highlight individual protective factors such as coping strategies; however, there are no studies that examine the harmful effects of cyberbullying and the implications of different coping strategies on depressive symptoms in the context of a pandemic in diverse regional and national samples. We used two independent samples (the first consisted of 463 adolescents, 73.4% females, and the second had 694 adolescents, 85.45% females, all 15–19 years old). We ran moderation models through ordinary least squares regressions on depressive symptoms. Our results found that victims have higher levels of depression. Disconnecting from social media is associated with depressive symptoms when the frequency of cyberbullying is low. Ignoring the situation is associated with lower depressive symptoms when the cyberbullying frequency is low. Our study adds evidence of the importance and specificity of coping strategies while facing cyberbullying in a context of an adolescent's increased virtual interactions.