This study explored the relationship between physical activity, depression, and nonsuicidal self-injury (NSSI) in 167 high school and undergraduate students (mean age = 17.37, range 14–25). Results indicated that NSSI frequency had a significant negative relationship with physical activity, and physical activity moderated the relationship between depressive symptoms and self-harm. Specifically, high levels of depressive symptoms and low levels of physical activity had the greatest frequency of NSSI. Lastly, appearance-based exercise motivations were significantly related to increased frequencies of NSSI. Overall, physical activity may possess a protective nature against NSSI, especially in individuals with depressive symptoms.