The Healthy Context Paradox suggests that victims of peer-bullying experience greater psychological adjustments difficulties in environments with low victimization norms. This study aims to explain this phenomenon from a cognitive perspective guided by Beck’s Model of Depression. We examined the clique-level effects of cognitive bias between victimization and depression with the data collected from two junior-high schools, a total of 2091 students (54.3% boys, Mage = 13.26 years, SD = 0.66), in Shaanxi province. The Social Cognitive Map was conducted to identify cliques. And the results showed that cognitive biases play a partial mediating role between bullying victimization and depression. Clique victimization norms moderated the impact of peer-victimization on cognitive biases but had no significant effect on depression, and in cliques with low victimization norms, peer-victimization predicts a greater impact on cognitive biases. Peer-victimization predicted cognitive bias within all-girl cliques only with low victimization norms, but this effect was found in all-boy cliques with both high and low victimization norms. And the moderating mediating effects for depression were non-significant in all-boy cliques and mixed gender cliques. These results indicated a possible combination of the Healthy Context Paradox and Beck’s depression Model and provide a practical guidance for the intervention of preventing depression, especially in an environment where bullying victimization is common.