This study examined whether attributional style for negative events plays a mediating or moderating role in the association between victimisation by bullying and psychological distress in young adults. A total of 127 undergraduate students completed the Attributional Style Questionnaire, a newly developed Victimisation and Bullying Inventory and the Psychological Distress subscale from the Mental Health Inventory. As expected, the tendency to attribute negative events to internal, stable and global causes predicted higher psychological distress. There was also a positive association between extent of victimisation and psychological distress. Although attributional style did not mediate in this relationship, there was evidence of moderation. Individuals with more negative attributional styles showed a clear association between victimisation and psychological distress, while those with less negative styles showed no association. These results suggest that a tendency towards a negative attributional style may increase the risk of psychological distress in victims of bullying.