Background: Peer victimization is a crucial risk predictor for adolescent non-suicidal self-injury (NSSI). However, adolescent NSSI reactions to peer victimization exhibit large individual differences. This study explored whether depression mediated the association between peer victimization and adolescent NSSI, and whether this mediating path was moderated by the 5-HTR2A gene rs6313 polymorphism. Methods: A total of 667 adolescents (Mage = 12.81 ± 0.48 years) anonymously completed the questionnaires regarding peer victimization, depression, and NSSI. Genomic DNA was extracted from saliva and buccal cells from each participant. Results: The results showed that the positive relation between peer victimization and adolescent NSSI was mediated by depression. The triple interaction between peer victimization, rs6313 single nucleotide polymorphism, and sex on adolescent depression was significant. Moreover, the triple interaction between depression, 5-HTR2A gene rs6313 single nucleotide polymorphism, and sex on NSSI was also significant. In girls, homozygous CC individuals in the high peer victimization group reported significantly higher levels of depression and NSSI than participants in the low peer victimization group; the interaction, however, was not significant in boys and CT/TT genotype girls. Conclusions: These findings promote the etiological understanding of adolescent NSSI, highlighting the mediating and moderating effect of peer victimization on NSSI, and provide evidence supporting the relationship between the serotonin system and adolescent NSSI.