The aim of this paper is conduct a review in order to delve further into the relationship between bullying and social anxiety. The introduction seeks to unify both concepts to provide the reader with a reference framework. Numerous studies are then presented that show there is a significant relationship between peer bullying, victimization and aggression at school, on the one hand, and social anxiety, on the other. There follows a description of instances of research that reveal the directionality between these variables and, finally, those that analyze certain moderating factors of this relationship (e.g., behavioral inhibition, social skills, coping). This review allows us to conclude that although major progress has been made in this field, there is still a necessity, particularly in Spanish-speaking countries, to conduct more controlled studies that present more conclusive data and, above all, that have a practical application in educational and clinical settings, as there is a pressing need to stop the spread of these social problems and their comorbid and/or resulting adverse effects.