The present cross-sectional study aimed to (a) expand our understanding of the role of risk and resilience factors for adolescent adjustment during coronavirus disease (COVID-19) and (b) examine personal resilience, peer and teacher-student relationships as protective factors against mental health difficulties. A total of 3,662 students from 4th to 11th grades in Urumchi, China completed a survey in June 2020. Urumchi is an ethnically diverse city, with nearly 40% of the population in this school district being ethnic minority students. The schools of Urumchi closed in February 2020 and reopened in April 2020. The results of latent moderated structural equation modeling suggested that peer victimization was associated with greater mental health difficulties in students. Personal resilience and teacher-student relationships were promotive factors for better mental health and also served as a buffer from the negative effect of peer victimization on mental health. The results also showed divergent patterns for elementary versus secondary school students as well as gender differences. Implications for how schools can support students during COVID-19 were discussed.