Non-suicidal self-injury (NSSI) is an emerging health problem among adolescents. Although previous studies have shown that deviant peer affiliation is an important risk factor for this behavior, the reasons for this relationship are unclear. Based on the integrated theoretical model of the development and maintenance of NSSI and the social development model of delinquency prevention, this study tested whether depression mediated the relationship between deviant peer affiliation and NSSI and whether this mediating effect was moderated by sensation seeking. A sample of 854 Chinese adolescents (31.50% male; M_age = 16.35; SD = 1.15) anonymously completed questionnaires on the study variables. Results of regression-based analyses showed that depression mediated the association between deviant peer affiliation and NSSI, and this effect was stronger among adolescents who reported high sensation seeking. The results demonstrate the role of individual differences in the link between affiliation with deviant peers and NSSI, and have implications for preventing and treating this risky behavior.