This study examines the influence of bullying at work on self-rated anxiety (SRA) across 19 European countries through the European Working Conditions Survey (2015 and 2021). Descriptive analysis highlights a significantly higher prevalence of bullying among women compared to men. The econometric analysis uncovers that the detrimental impact of bullying is particularly pronounced in environments characterised by higher gender inequality. Gender differences are more prominent in countries where women face lower economic participation and opportunities. However, the frequency of reported bullying is higher in the group of countries where conditions for women are more equal. The apparent lack of awareness regarding these abusive behaviours would feasibly result in a lack of specific legislation and consequently generate a greater impact on SRA, even though the issue seems less prominent.