ObjectiveTo study the effect of physical exercise on non-suicidal self-injury in adolescents and to verify the chain mediating role of perceived social support and self-concept. Methods: A survey study was conducted on 1,426 adolescents in Chengdu, Sichuan Province. A chain mediation model was used to verify whether perceived social support and self-concept played a mediating role.ResultsPhysical exercise was significantly negatively associated with non-suicidal self-injury in adolescents (β = −0.53, p < 0.01) and significantly positively associated with perceived social support and self-concept (β = 0.52, 0.54, p < 0.01), and perceived social support and self-concept were significantly negatively associated with non-suicidal self-injury (β = −0.59, p < 0.01; β = −0.64, p < 0.01), and perceived social support was able to significantly and positively associate self-concept (β = 0.76, p < 0.01).ConclusionPerceived social support and self-concept play a chain mediating role in the effect of physical exercise on non-suicidal self-injury in adolescents, and it is recommended that the development of perceived social support and self-concept be emphasized during adolescents’ development, which has the potential to reduce the incidence of non-suicidal self-injurious behaviors in adolescents.