The Internet is at the heart of our children’s and adolescents’ way of life. Although it opens up many positive perspectives in terms of access to information, knowledge, and communication, it also presents risks and potential negative experiences that can have severe consequences at the individual level. In this paper, we are interested in studying the link between cybervictimization, psychological well-being, and social competence. More specifically, we want to study how children and adolescents’ anxiety, impulsivity, self-esteem, and deviant behaviors may be related to cybervictimization. We collected data from 1019 children and young people in France aged 9–17 in the context of the EU Kids online survey. Sampling was performed building a random-probability nationally representative sample of households with children using the Internet. Participants completed a questionnaire online by computer-assisted self-interviewing (CASI). Structural equation model reveals that (1) cybervictimization is related to lower well-being, such as anxiety and low self-esteem, as well as lower social competence, such as impulsivity and deviant behaviors, and that (2) all dimensions of (non)well-being and social (in)competence are related to each other. Findings are discussed in the light of Agnew general strain theory and previous research findings on the consequences of cybervictimization.