This study (a) compared native Finns and immigrant children with respect to different forms of peer victimization and (b) tested whether intrapersonal (e.g., depression) and interpersonal (e.g., peer rejection) risk factors help to explain the association between immigrant status and peer victimization. The sample was drawn from the first phase of a large intervention evaluation project, KiVa, in Finland, composed of 4,957 native Finns (51% girls), 146 first-generation immigrants (48% girls), and 310 second-generation immigrants (53% girls) 9 to 12 years of age. The concurrent data included self- and peer reports collected via Internet-based questionnaires. Compared with native youth, first- and second-generation immigrants were more often targets of both peer- and self-reported victimization. Both immigrant groups experienced higher levels of physical, racist, and sexual victimization than natives. Furthermore, second-generation immigrants reported higher levels of property damage, threats, and cybervictimization than native Finns. Significant indirect effects were found between immigrant status and victimization. Interpersonal but not intrapersonal risk factors helped to explain these associations.