Background: Previous studies indicated that perception of school experiences (i.e., teachers’ psychological support and perceived peer climate) is associated with nonsuicidal self-injury (NSSI) behaviors among adolescents. Aims: The purpose of the current study was to explore whether depression symptoms mediate the relationship between sense of loneliness in school and NSSI behaviors among adolescents. Method: The sample included high-school students (N = 306; 51.6% girls) who completed surveys assessing their subjective sense of loneliness (feeling lonely, spending their time alone in school, and reporting a small number of friends), depression symptoms, and NSSI behaviors. Results: Multiple-group structural equation modeling, stratified by gender, supported the hypothesized model. Sense of loneliness was associated with depression symptoms, which in turn were associated with NSSI. Positive school attitudes were associated with depression symptoms only for girls. Results were robust when controlling for the relationships with parents. Limitations: The study is based on cross-sectional data, which limits the ability to make causal conclusions, and the instruments are based on self-report scales. Conclusion: Mental health professional are advised to note the significant role of subjective sense of loneliness in school as a possible risk factor for depression symptoms, which may be associated with NSSI behaviors.