The purpose of this study was to explore the inter-relationships among students’ self-esteem, bullying victimization/perpetration behaviours, and perceived parental support, with a focus on how self-esteem mediates the association of parental support and bullying behaviours and how bullying mediates the association of parental support and self-esteem. We employed structural equation modelling to analyse the secondary data collected in “Young Minds Matter: The Second Australian Child and Adolescent Survey of Mental Health and Wellbeing” funded by the Australian Government Department of Health. Analyses were performed on 431 adolescent students selected from 2967 adolescents aged 11-17 years. Our findings revealed that parental support has a direct positive association with self-esteem and a direct negative association with bullying behaviours. This study highlights the importance of parental support in both lowering bullying perpetration/victimization and enhancing student’s self-esteem. Findings of this study could improve anti-bullying programs.