Challenges are a certain type of mission in Bully. Completing a challenge earns Jimmy a new save location. They appear on the map as a red star. There are five challenges in all; one for each clique excluding the Bullies.
- Main article: Prep Challenge
First available in Chapter 2. Jimmy must play the Boxing minigame against Chad, Justin and Parker, in that order. Winning gives him a save location at the beach house under the lighthouse. This is the only Challenge mission that must be completed to advance the game.
- Main article: Nerd Challenge
First available early in Chapter 3. Jimmy must play ConSumo and beat Fatty's high score of 1,010. If he wins, the nerds allow him to use the basement of the Dragon's Wing Comics store in Bullworth Town.
- Main article: Greaser Challenge
- Main article: Jocks Challenge
- Main article: Townie Challenge
Available in Chapter 5. The townies are using a small storage room in a warehouse as a hangout and Jimmy must fight to evict them and take it over.