Objective To explore the psychological experience of non-suicidal self-injury (NSSI) in adolescents with depression, and to provide reference for taking targeted intervention measures. Methods A purposive sampling method was used to select 15 adolescents with depression who had experienced NSSI for semi-structured in-depth interviews. Colaizzi 7-step analysis method was used to analyze, summarize and extract the data. Results The psychological experience of adolescents with depression who have experienced NSSI can be summarized into four themes:long-term accumulation of adverse stimuli from school and insufficient self-regulation ability; Inadequate care and attention from their family and inability to release their negative emotions; thought imprisonment, communication refusal and unsmooth of help seeking path before NSSI; negative emotions released and the pleasure is hard to control by themselves after NSSI. Conclusion Adolescents with depression are prone to NSSI, so schools need to provide good support education, families need to create a comfortable atmosphere, both parties jointly provide effective psychological support for teenagers, in order to avoid the occurrence of NSSI and promote adolescents′ physical and mental health.