The Sustainable Development Goals (SDGs) include 'Good Health andWell-being' (SDG3) and 'Quality Education' (SDG4). Nevertheless, many students cannot achieve these goals if they suffer peer victimization at their schools, and intervention programs to reduce it are necessary. These programs should consider the possible differences in the coping strategies preferred by students according to some personal (e.g., gender, grade, victimization status) and contextual (e.g., perceived classroom social climate) factors to be more effective. Therefore, the objective of this study was to analyze the possible differences in the coping strategies preferred by students (ask a friend for help, ask a teacher for help, ask parents for help, not ask anyone for help, fighting back, avoid the aggressor and ask the aggressor why) to handle situations of relational, physical and verbal peer victimization according to their gender, school grade, victimization status and perceived classroom social climate. The sample comprised 479 students (52.2% boys, 47.8% girls) aged from 9 to 14 years (M = 11.21, SD = 1.52). The results showed that girls chose the strategies of asking friends or adults for help and asking the aggressor why more than boys, while boys chose the strategies of fighting back and not ask anyone for help more than girls. The coping strategy of asking a teacher for help was preferred more by students of lower school grades and by students with a positive perception of the classroom climate. Victimized students preferred the strategy of not asking anyone for help. These results may be useful for developing more effective intervention programs. These programs should aim to enhance the teacher-student relationship in upper school grades, help victimized students to inform about peer aggression situations and improve perceived classroom social climate.