Background <p>Affective and interpersonal instability are suggested to underlie adolescent non-suicidal self-injury (NSSI). However, previous research has not directly compared adolescents with NSSI to those with psychiatric conditions that are often, but not always, correlated with NSSI. We explored the specificity of affective and interpersonal instability to adolescent NSSI compared to depression.</p> Methods <p>Based on a clinical sample of 70 adolescents (56 female and 14 male), we compared a group with NSSI (<i>n</i> = 50) with a clinical comparison group diagnosed with major depression and no engagement in NSSI (<i>n</i> = 20). We used high-frequency ecological momentary assessments (EMA) of affect and interpersonal attachment over four days. Mean affect and mean attachment as well as the root mean squares of successive differences (RMSSD) indicating instability of affect and attachment were calculated. The groups were compared using regression modeling.</p> Results <p>Adolescents with NSSI reported less positive affect and lower levels of attachment to their mothers and best friends than those with depression. Moreover, models adjusting for gender and mean affect and attachment, respectively, indicated that the NSSI group experienced more affective instability (<i>b</i> = 6.26, 95% CI = 0.79—11.73, <i>p</i> = 0.025). The two groups experienced similar average levels of attachment instability. Although there was no moderating effect of gender in the reported associations, the link between affective instability and NSSI was mainly driven by the male subsample, whereas low levels of attachment were associated with NSSI especially in females.</p> Conclusions <p>Affective instability is especially high among adolescents with NSSI. When co-occurring with other disorders, NSSI may serve as an identifier of a patient’s particularly strong need for treatment aiming at affect stabilization.</p>