Models of stress and coping propose that cognitive appraisals can mediate the relationship between stressor and adjustment (Lazarus & Folkman, 1984). Threat is already known to be associated with levels of peer-victimisation (Hunter et al., 2007), and reflects interpretation of a situation as negative and potentially catastrophic. Such cognitions overlap with depressogenic attributional styles (Abramson et al., 1978), but are situation specific. Hence, we sought to evaluate whether the effects of changes in levels of peer-victimisation upon depressive symptomatology were mediated via changes in threat appraisal. Here, 349 pupils (47.9% male), aged eight to 10 years at Time 1, completed measures of peer-victimisation, threat appraisal, and depressive symptomatology on two occasions (18 months apart). Residual change scores were calculated for change in levels of victimisation and threat appraisal. Mediational analyses (controlling for gender, age, and depressive symptoms at T1) indicated that the effect of peer-victimisation on depressive symptomatology was partially mediated by change in threat appraisals. This represented a significant indirect path, with 43% of the effect of peer-victimisation upon depressive symptomatology mediated via threat appraisals. These results highlight the importance of tackling perceptions that children hold regarding their peer-victimisation and its potential social and psychological consequences for them