In the adolescent group, about half of adolescents with major depressive disorder (MDD) have NSSI. Psychosocial factors are associated with the development of NSSI. Clarifying the relationship between psychosocial factors and NSSI in adolescents with MDD can help us achieve early prevent. Demographic data, Hamilton Depression Scale-24 (HAMA24), childhood trauma questionnaire, emotional intelligence scale and interpersonal reactivity index were collected from 187 adolescents with MDD. Use ANOVA, Chi-square test, Binary Logistic Regression, Pearson correlation analysis, Mediation effect analysis and the Structural Equation Model for data analysis. The results of ANOVA showed that there was significant difference between the two groups in HAMD24 total score, impulsiveness, emotional intelligence, and empathy (p < 0.05). In the regression analysis, women, depression degree, motor impulsiveness (MI), personal distress (PD) and appraisal of other’s emotions empathy were the risk factors for MDD adolescents to produce NSSI behavior. Among the indicators that were significantly related to MDD and NSSI, MI and PD mediate the relationship between MDD and NSSI. The structural equation model showed that MDD, PD and MI had a direct impact on NSSI, but PD and MI had multiple intermediary effected in the relationship between MDD and NSSI. Emotional intelligence, emotional neglect and cognitive impulsiveness indirectly affected the occurrence of NSSI behavior. Impulsiveness, personal distress, emotional neglect, and emotional intelligence are important risk factors that affect NSSI behavior in adolescents with MDD, and they affect the occurrence of NSSI in adolescents with MDD through chain mediation.