The paper examined the mediating effect of child deprivation on the associations between family poverty (i.e., relative poverty and household deprivation), bullying victimization, and psychological distress in an Asian/Chinese society (Hong Kong), and further examined sex differences in the interrelationships of family poverty, child deprivation, bullying victimization, and psychological distress. Data were collected from a random sample of 792 children and their adults living in the same households. The structural equation modeling analysis showed that family poverty did not predict bullying victimization and psychological distress directly but influenced both bullying victimization and psychological distress indirectly through child deprivation. No sex differences were found in the interrelationships between variables in the model. Our findings provide empirical support that child deprivation may play a crucial mediating role in the relationship between family poverty and its negative outcomes on children. This study also provides empirical evidence supporting that reducing child deprivation may effectively prevent the negative effects of family poverty on children's behavioral and psychological health.