Although earlier research found that workplace bullying affects an individual's mental health, investigations of the mechanisms that produce these behaviors and their external factors have remained rare. Based on the affective events theory, we examined the mediating effect of mental exhaustion on the relationship between workplace bullying and mental health. We also analyzed the moderating effects of coping strategies on the relationship between workplace bullying and emotional exhaustion as well as on the relationship between emotional exhaustion and mental health. Convenience sampling was used in this study and 290 university employees participated. We found that workplace bullying significantly and positively correlated with emotional exhaustion, emotional exhaustion significantly and negatively correlated with mental health. We also found that emotional exhaustion had a mediating effect on the relationship between workplace bullying and mental health and coping strategies had a significant moderating effect on the relationship between emotional exhaustion and mental health. Based on these results, we discussed the implications for relevant management practices and provided suggestions for future study.