The majority of research on the outcome of school violence has been conducted in Western countries. Empirical studies on how school violence impacts student psychological well-being in a Chinese cultural context are relatively limited. The aim of this study was to address this gap by exploring how student maltreatment by teachers, student perpetration against students, and student victimization by other students affected the self-esteem and depression of 1,376 junior high school students in Taiwan. The current study also explored how gender, family socioeconomic status (SES), student–teacher relationships and peer support moderate the impact of school violence. Structural equation analyses showed that student victimization by students and student perpetration of violence against students successfully predicted depression, but not self-esteem. Student maltreatment by teachers was associated with neither depression nor self-esteem. Multigroup analyses showed that relationships among the variables were similar across gender, family socioeconomic status, or student–teacher relationships. However, the impact of student victimization on depression was stronger for subgroups with a low level of peer support than for those with a high level of peer support. The overall findings suggest that depression is the major consequence of school violence in Taiwan and that the impact of student victimization by fellow students on depression is buffered by positive peer support. Implications for theory, intervention and recommendations for future research are discussed.