The Rohingya have endured generations of trauma through displacement and targeted violence in Myanmar. Hundreds of thousands have been forced out of the country, with a large proportion settling in refugee camps in Cox’s Bazar, Bangladesh. This study examines the impacts of exposure to trauma on mental health outcomes among Rohingya adolescents living in Bangladesh. Post-traumatic stress disorder (PTSD) and depression are examined as outcomes. The main explanatory variable is a measure of exposure to trauma at two levels of proximity (experiencing and witnessing). Resilience is investigated as a potential effect modifier. Experiencing and witnessing traumatic events are positively and significantly associated with PTSD and depression. However, this effect is only seen for PTSD as a continuous measure, reflecting high rates of low-level PTSD in this population. Resilience is found to reduce the effects of trauma on depression, indicating an effect modification of this relationship.