Many emerging adults report experiencing mental health challenges (e.g., depressive symptoms and perceived stress) during the transition to university. These mental health challenges often coincide with increased engagement in nonsuicidal self-injury (NSSI; e.g., self-cutting or burning without lethal intent), but longitudinal research exploring the nature of the associations among depressive symptoms, perceived stress, and NSSI are lacking. In the present study, it was examined whether depressive symptoms and perceived stress predicted increased risk for NSSI over time (or the reverse), and whether these effects were mediated or moderated by self-compassion. The sample consisted of 1,125 university students ( Mage = 17.96 years, 74% female), who completed an online survey three times in first year university. A random intercept cross-lagged panel model revealed that higher depressive symptoms, perceived stress, NSSI, and lower self-compassion often co-occurred, but only NSSI predicted increased perceived stress over time. Theoretical and practical implications are discussed.