Previous studies have shown that peer victimization has a negative effect on sleep quality. However, there is limited understanding of how peer victimization affects sleep quality. According to the theoretical model of the stress-sleep relationship, stressors, such as peer victimization, affect individuals' sleep quality by affecting their cognitive processes and emotional responses. Therefore, this study aimed to investigate the cognitive (rumination) and emotional (anxiety) mechanisms of the relationship between peer victimization (traditional and cyber victimization) and sleep quality. Using a 2-wave longitudinal design, 1,092 college students (620 males, mean age at time 1 = 19.53 ± 0.83 years) completed self-reported measures of demographic characteristics, traditional victimization, cyber victimization, rumination, anxiety, and sleep quality. A structural equation model was conducted to test the chain mediating role of rumination and anxiety in the relationship between peer victimization (traditional and cyber victimization) and sleep quality. The findings showed that the mechanisms between traditional victimization and sleep quality were not exactly the same as those between cyber victimization and sleep quality. Specifically, traditional victimization indirectly predicted sleep quality through a separate mediating effect of rumination, a separate mediating effect of anxiety, as well as a chain mediating effect of rumination and anxiety. Cyber victimization indirectly predicted sleep quality through a separate mediating effect of rumination, as well as a chain mediating effect of rumination and anxiety. This study contributes to understanding how traditional and cyber victimization affect sleep quality among college students. It reminds us that when formulating programs to promote the sleep quality of college students, we should focus not only on reducing their traditional and cyber victimization but also on addressing rumination and anxiety.