Peer victimization and the associated poor outcomes among lesbian, gay, bisexual, transgender, and questioning (LGBTQ) youth have been the focus of countless studies. School climate is a factor that has garnered significant attention. Perceptions of school contexts may even be mechanisms that define how victimization relates to poor outcomes. However, there is a lack of rigorous scholarship that could demonstrate directionality and therefore further augment our understanding of these relations. Specifically, it is not clear if victimization is strictly an antecedent to mental health issues like depressive symptoms. This longitudinal study examined the associations among sexual harassment victimization, school belonging, and depressive symptoms among LGBTQ high school students (n = 404). Self-report measures were completed at 3 time points across 3 school years in 6 Midwest high schools. Structural equation modeling indicated that peer victimization was an antecedent to depressive symptoms, and that school belonging mediated the association. Implications and future directions are discussed.