School bullying is a growing concern in almost all developed economies, bringing negative and serious consequences for those students involved in the role of victims. In this paper, we propose to analyze this topic for the case of Spain, considering the data compiled in the Programme for International Student Assessment (PISA) report in 2018. The sample size consists of 12,549 15-old-year students (51.84% females and 48.16% males). With the help of structural equation models (SEM), we aim to detect the relationship between the risk of being a victim of bullying and several self-appreciations expressed by the students. We have considered variables that try to measure individual perceptions in several aspects, such as the self-image, the help provided by parents and teachers and how the school environment's safety is perceived. A multigroup analysis was also performed to see the impact of the socioeconomic level of the families and the students' academic performances on the proposed model. We conclude that several of those aspects are directly related with the risk of being bullied and this risk is higher in those students who present school failure and have a lower socioeconomic status. In this regard, the results would permit pointing out some aspects in which the decision-makers can focus their proposals to establish prevention measures.