The aim of this study was to test for sex differences in the role of physical and relational victimization in anxiety and depression development through a randomized prevention trial. 448 seven-year-old boys and girls were randomly assigned to the Good Behavior Game intervention, a two-year universal classroom based intervention aimed at reducing disruptive behavior problems and creating a safe and predictable classroom environment, or to a control condition. Assessments of self-reported physical and relational victimization at age 10 years, and self-reported major depressive disorder, generalized anxiety, social anxiety, and panic/agoraphobia symptoms at age 13 years were available. Reductions in anxiety/depression were mediated by reduced rates of relational victimization in girls, whereas reductions in physical victimization accounted for the reduced anxiety/depression scores among boys. The results support sex-specific pathways of victimization leading to anxiety and depression.