Many victimized youngsters are at risk of developing internalizing problems, and this risk seems to be especially pronounced when they are genetically vulnerable for these problems. It is unclear, however, whether protective features of the school environment such as anti-bullying classroom policies and teacher's perceived self-efficacy in handling bullying situations can mitigate these negative outcomes. Using a genetically informed design based on twins, this study examined the potential moderating role of classroom anti-bullying policies and teachers' perceived self-efficacy in handling bullying situations in regard to the additive and interactive effects of peer victimization and genetic vulnerability on anxiety symptoms. To this end, 208 monozygotic and same-sex dizygotic twins (120 girls) rated their level of anxiety and peer victimization in grade 6 (mean age = 12.1 years, SD = 2.8). Teachers rated their self-efficacy in handling bullying situations and the extent of anti-bullying classroom policies. Multilevel regressions revealed triple interactions showing that genetic disposition for anxiety predicted actual anxiety for twins who were highly victimized by their peers, but only when their teachers had low perceived self-efficacy in handling bullying situations or when anti-bullying classroom rules were absent or rarely enforced. In contrast, for victimized youth with teachers who perceive themselves as effective or in classrooms where anti-bullying classroom policies were strongly enforced, genetic disposition for anxiety was not associated with actual anxiety symptoms. Anti-bullying programs should continue to promote teachers' involvement, as well as the enforcement of anti-bullying classroom policies, in order to diminish peer victimization and its related consequences.