Objective To examine the association between Muslim religious affiliation and suicide and self-harm presentations among first- and second-generation immigrant youth. Methods We performed a population-based cohort study involving individuals aged 12 to 24 years, living in Ontario, who immigrated to Canada between 1 January 2003 and 31 May 2017 (first generation) and those born to immigrant mothers (second generation). Health administrative and demographic data were used to analyze suicide and self-harm presentations. Sex-stratified logistic regression models generated odds ratios (OR) for suicide and negative binomial regression models generated rate ratios (aRR) for self-harm presentations, adjusting for refugee status and time since migration. Results Of 1,070,248 immigrant youth (50.1% female), there were 129,919 (23.8%) females and 129,446 (24.2%) males from Muslim-majority countries. Males from Muslim-majority countries had lower suicide rates (3.8/100,000 person years [PY]) compared to males from Muslim-minority countries (5.9/100,000 PY) (OR: 0.62, 95% CI, 0.42–0.92). Rates of suicide between female Muslim-majority and Muslim-minority groups were not different (Muslim-majority 1.8/100,000 PY; Muslim-minority 2.2/100,000 PY) (OR: 0.82, 95% CI, 0.46–1.47). Males from Muslim-majority countries had lower rates of self-harm presentations than males from Muslim-minority (<10%) countries (Muslim majority: 12.2/10,000 PY, Muslim-minority: 14.1/10,000 PY) (aRR: 0.82, 95% CI, 0.75, 0.90). Among female immigrants, rates of self-harm presentations were not different among Muslim-majority (30.1/10,000 PY) compared to Muslim-minority (<10%) (32.9/10,000 PY) (aRR: 0.93, 95% CI, 0.87–1.00) countries. For females, older age at immigration conferred a lower risk of self-harm presentations. Conclusion Being a male from a Muslim-majority country may confer protection from suicide and self-harm presentations but the same was not observed for females. Approaches to understanding the observed sex-based differences are warranted.