The links between sexual harassment victimization and aspects of psychopathology are well-established in adolescent research, but whether sexual harassment victimization undermines positive aspects of psychological health and the moderating role of relational support in the link between sexual harassment victimization and psychological ill-health remains unknown. Using a cross-lagged model, we examined (a) the bidirectional and longitudinal links between sexual harassment victimization and adolescent psychological health (emotional problems and well-being) and (b) the moderating role of relational support from parents, teachers, and peers (best friends and classmates) in the link between sexual harassment victimization and adolescent psychological health. We used two waves of self-reported data (separated by 1 year) from 676 Swedish adolescents (50% female; mean age = 13.85 years at the point of first data collection). Controlling for the effects of gender and subjective socioeconomic status, the cross-lagged model revealed that sexual harassment predicted emotional problems positively and well-being negatively. Moreover, well-being predicted sexual harassment negatively. Relational support from classmates moderated the link in the direction from sexual harassment victimization to emotional problems. Relational support did not moderate the link to well-being. The findings provide new and important insights into the role of sexual harassment victimization in adolescent psychological adjustment and potential approaches to intervention.