This preliminary study explored a person-group dissimilarity hypothesis in the context of adolescent sexual harassment. Theory suggests that victimized youth are expected to experience worse outcomes if they perceive victimization to be a rare experience among their peers. This study comprised 435 middle school students who reported on their experiences of sexual harassment (victimization and witnessing), shame, and depressive symptoms. We tested a cross-sectional conditional indirect-effects model, with shame mediating the relationship between victimization and depressive symptoms (the indirect effect) and with witnessing as a moderator of the indirect effect. For all students, shame mediated the relationship between victimization and depressive symptoms. For female students, there was a buffering effect of witnessing, whereby the indirect effect was weaker at high levels of witnessing. These findings have potential implications for theory and intervention, suggesting the importance of examining young people's social contexts to better understand their responses to sexual harassment.