Introduction: We examined sexual harassment, alongside other forms of peer victimization, as correlates of self-worth, depression, and anxiety (emotional adjustment). In addition, we investigated joint moderating effects of gender and age in the relationship between sexual harassment and emotional adjustment. Methods: Participants were 277 high school and 492 university students (12–24 years, 60% female) residing in Australia. All completed a survey to report sexual harassment experiences, as well as in-person and online/social media appearance-related peer victimization, global self-worth, and social anxiety and depressive symptoms. Results: Age was positively associated with sexual harassment, as well as with general and social media victimization; males and females did not differ. Participants who reported more sexual harassment reported poorer adjustment, but only the association with depressive symptoms remained significant after controlling for other forms of peer victimization. When gender and age were tested as moderators, the positive association between sexual harassment and depression was significant for all groups but younger males and there was a positive association between harassment and anxiety among only younger females and older males. Conclusion: Sexual harassment was commonly reported, but rather weakly and intermittently associated with emotional health, after controlling for appearance-related peer victimization. Future research should examine when and why youth seem fairly resilient to negative emotional effects that could follow sexual harassment. It is possible that messages about the cause of sexual harassment are being heard and this aids youth to avoid self-blame and emotional maladjustment.