Background Non-suicidal self-injury (NSSI) by adolescent patients with depression has become a serious public health problem. This cross-sectional study aims to identify subgroups of adolescents based on NSSI and explore the factors related to these subgroups. Methods The study recruited 326 in- and out-patient adolescents (263 girls and 63 boys) aged 12 to 18 years (mean = 14.7, SD = 1.6) who had self-injured in the past year. Latent class indicators included 12 NSSI variables, as well as suicidal ideation. Logistic regression examined associations between identified classes and related factors. Results In this study, two distinct subgroups were identified: a “high suicidal ideation NSSI group” (n = 129, 39.6%) and a “low suicidal ideation NSSI group” (n = 197, 60.4%). Depression (OR = 1.10; 95% CI, 1.05–1.16), female (OR = 2.01; 95% CI, 1.09–3.69), left-behind experience (OR = 2.08; 95% CI, 1.17–3.71), single-parent family (OR = 1.84; 95% CI, 1.11–3.04) and peer victimization (OR = 1.04; 95% CI, 1.02–1.05) increases the probability of belonging to the “high suicidal ideation NSSI group”. A high level of perceived social support (OR = 0.99; 95% CI, 0.97–0.99) was a protective factor towards NSSI. Conclusions This study identifies two subgroups of NSSI and the factors associated with each subgroup. The early identification of high-risk groups for major NSSI in adolescents diagnosed with depression is possible due to the identification of correlating factors. Different treatment plans can be developed for different subtypes of NSSI to improve the effectiveness of prevention and intervention, promoting the healthy physical and mental development of adolescents with depression.