We propose a theoretical model of insomnia symptoms and non-suicidal self-injury (NSSI) that posits bidirectional linkages. We hypothesised that heightened depressive symptoms and impulsivity that result from insomnia increase NSSI. We also posit that the shame associated with NSSI triggers repetitive negative thinking, in turn increasing insomnia. Using three longitudinal waves of questionnaire data collected annually from a sample of Swedish adolescents (n = 1,457; Mage = 13.2, SD = 0.43; 52.7% boys), we assessed the mediating role of depressive symptoms, impulsivity, rumination, and worry on the link between insomnia and NSSI. After controlling for depressive symptoms, we found that insomnia was related to increases in NSSI from the second to the third time point (ß23 = 0.09, p = .01). NSSI was consistently related to increased insomnia (ß12 = 0.09, p = .01; ß23 = 0.11, p < .001). In addition, depressive symptoms (ßind = 0.01, p = .02), but not impulsivity (ßind = 0.01, p = .09), mediated the path from insomnia to increased NSSI. Neither worry (ßind = 0.00, p = .59) nor rumination (ßind = 0.00, p = .96) mediated the link between NSSI and increased insomnia. We conclude that NSSI and insomnia maintain each other over time. Thus, screening adolescents for insomnia symptoms may help identify those at risk of NSSI. Although depression seems to explain why insomnia is a risk factor for NSSI, further studies should investigate why NSSI plays a role in the maintenance of insomnia. This understanding will lay the foundation for intervention.