The purpose of this study was to address frustration intolerance related to bullying among adolescents. We investigated how sociodemographic characteristics and intolerance frustration beliefs are related to four bullying roles (pure victim, bully-victim, pure bully, and noninvolved). This cross-sectional study featured a sample of 1124 French adolescents (616 girls and 508 boys), who completed the revised Olweus Bully/Victim Questionnaire and Frustration Discomfort scales. Results revealed that adolescents involved in bullying expressed more irrational frustration intolerance beliefs than their noninvolved peers. Entitlement, emotional intolerance, and achievement frustration were positively associated with victimization, but only entitlement emerged as a significant predictor of victim status in a logistic regression analysis. Entitlement and achievement frustration were positively associated with bullying perpetration, but entitlement only emerged as a significant predictor of bully status in the regression analysis. The present findings show that entitlement is the type of frustration intolerance belief that contributes the most to bullying involvement. Interventions targeting irrational entitlement beliefs and reinforcing rational ones could be considered when dealing with adolescent bullying.