This study investigated the “healthy context paradox”: the potentially adverse effects of school anti-bullying norms on victims’ psychological (depression, social anxiety, and self-esteem) and school adjustment. Based on the person-group (dis)similarity model, social comparison theory, similarity attraction in friendship formation, and attributional theory, it was hypothesized that the emotional plight of victims is intensified in intervention schools with a visible, school-wide anti-bullying program, as compared with victims in control schools with “a care as usual” approach. Longitudinal multilevel regression analyses were conducted on Randomized Controlled Trial data from the Dutch implementation of the KiVa anti-bullying program (baseline and 1-year follow-up data on 4356 students from 245 classrooms in 99 schools, 68% intervention students, 49% boys, 9–10 years-old). The findings revealed that—despite the overall success of the intervention—those who remained or became victimized in intervention schools had more depressive symptoms and lower self-esteem after being targeted by the intervention for 1 year, compared to those who remained or became victimized in control schools. These effects were not found for social anxiety and school well-being. The findings underscore the importance of individual × environment interactions in understanding the consequences of victimization and emphasize the need for adults and classmates to provide continuing support for remaining or new victims who are victimized in schools that implement anti-bullying interventions.