"Kids will follow our lead. They will follow our example, but we've got to set it," she said in a television interview broadcast Thursday.
Her comments came days after President Barack Obama addressed the topic in a video posted on the White House website.
In the message posted last week, Obama said he was shocked and saddened by the recent suicides of several young people who were bullied because they were gay. He also said it's time for society to dispel the myth that bullying is "a normal rite of passage."
Mrs. Obama said young people need to know that they shouldn't let the challenges they face in high school or college "eat them up."
"All of these young people regardless of their race, their sexual orientation, they are gifts to us," she said. "They have so much to offer and it's just terrible to find out that kids are letting this part of their life define everything about who they are going to be."
The first lady said she tells daughters Malia and Sasha that they have a responsibility to speak up when they see someone being bullied.
Mrs. Obama was interviewed on "The Ellen DeGeneres Show."