This study focuses on the relationship between school bullying and social anxiety in a sample of 1,810 Spanish children between the ages of 9 and 15. The relationships between these two constructs and their dimensions were tested using two new self-report instruments: the “Multimodal Questionnaire on Bullying for Children” (CMAE-1; Caballo, Calderero, and Irurtia, 2010) and the “Social Interaction Questionnaire for Children” (CISO-NIII; Caballo, Irurtia, Calderero, Salazar, and Carrillo, 2010). The results reveal a clear relationship between bullying, particularly relational bullying, and social anxiety (overall and between its six dimensions). These relationships are stronger in boys than in girls, and the regression analyses indicate that global social anxiety and, more specifically, one of its dimensions (“Criticism and embarrassment”) can predict bullying, and vice versa, being the victim of bullying is a predictor of social anxiety. Boys scored higher than girls in all the bullying variables associated with the role of bully, while there are no differences between the sexes in the bullying variables related to the role of victim of bullying.