In light of technological development, cyberbullying is a common behavior among young people that hurts everyone involved. Cyberbullying remains a major social issue that needs to be resolved in many countries, including Jordan. It has negative effects on the mental health of Jordanian youth, such as depression and social anxiety; therefore, this study aims to examine the relationship between cyberbullying and depression in the Jordanian context. It also considers social anxiety as a mediator and gender as a moderator in the relationship between the variables. Questionnaires were distributed to 220 Jordanian university students using a purposive sampling method, and PLS-SEM was employed to examine the direct and indirect associations between variables. The results showed that cyberbullying is directly linked to depression. Social anxiety is also linked to depression. Social anxiety is a mediating variable in the effects of cyberbullying on depression. The results of this study indicate that gender does not affect the relationship between cyberbullying and depression. The Transactional Model of Stress and Coping may offer a theoretical framework in the domain of cyberbullying and suggest the implementation of additional interventions aimed at mitigating cyberbullying and its adverse impact on individuals. This study concludes that cyberbullying increases social anxiety and depression. In addition, insights into the mechanism underlying the impact of cyberbullying on adult depression were provided, and suggestions were offered to mitigate cyberbullying and depression.