Existing research suggests that parent-adolescent conflict is associated with increased risk for adolescent non-suicidal self-injury (NSSI). However, adolescent NSSI reactions to parent-adolescent conflicts exhibit large individual differences. This study sought to explore whether depressive symptoms mediates the relationship between parent-adolescent conflict and adolescent NSSI, and whether this mediating process is moderated by the COMT gene rs4680 polymorphism. A total of 673 adolescents (364 males, 309 females) in the age range of 12 to 15 years (Meanage = 12.81 years, SD = 0.48) completed questionnaires regarding parent-adolescent conflict, depressive symptoms, and NSSI. Genomic DNA was extracted from saliva and buccal cells from each participant. Bootstrapping techniques displayed statistically significant moderated mediation. The results showed that the positive association between parent-adolescent conflict and adolescent NSSI was in fact mediated by depressive symptoms. Moreover, this indirect link was moderated by the COMT gene rs4680 polymorphism. Specifically, the risk effect of parent-adolescent conflict on adolescent NSSI via depressive symptoms was stronger for adolescents with Val/Val genotype than for those with Met/Met or Val/Met genotype. These findings underscore the importance of examining the interaction between genes and the environment to understand how and when parent-adolescent conflict impacts adolescent NSSI.