Bullying has been identified as the most common form of aggression and a major source of stress among children and adolescents. The main objective of this study was to analyze the association that school context in general and bullying in particular might have with hair cortisol concentration (HCC), examining the effect of executive function and sex on this association. The study included 659 11-year-old preadolescents from the cohorts of Gipuzkoa and Sabadell of the INMA (INfancia y Medio Ambiente-Children and Environment) project. We gathered information about school-related factors (bullying, school environment, problems with peers and academic performance) and executive function (risky decision-making). Hair samples were collected to measure cortisol concentrations and Structural Equation Modeling was used to examine associations between school-related factors, executive function and HCC. Results showed that being involved as a bully/victim was related to higher HCC and, higher HCC was associated with poorer executive function. This study may contribute to a better understanding of the consequences that chronic exposure to a stressful factors may have on preadolescents' health and developmental outcomes. Besides, our results are relevant for designing programs for prevention and intervention, which could modify individual physiological responses to stress and reduce the effects of stress on the health.