This study examines how individuals’ engagement in bullying at school and at university relates to the anxiety they feel in general and in various learning situations in which students interact during their higher education. It was predicted that, of the individuals who have experiences of bullying (in the role of bully, victim, or in a dual role as bully-victim), those who have been subjected to bullying experience more anxiety than do those who have no experience with bullying. A nationally representative sample of Finnish university students (N = 5086) participated in the study by responding to survey questions assessing their experiences of (a) anxiety syndrome, (b) context-specific social anxiety, and (c) situation-specific social anxiety in university learning settings. The findings revealed that victims differed from those with no experience of bullying in that they reported more of having current diagnosis of anxiety syndrome and higher levels of context-specific social anxiety in university learning contexts. This held true for both victims of school bullying and those who were bullied at university. The particular learning situations in which victims reported significantly higher levels of social anxiety were seminars, discussions with their teacher, and taking tests and exams. Implications for educational practices at university, student health services, and future directions for research are discussed.