Objective The aims of this study were to establish the roles of coping typologies and the psychological problems associated with nonsuicidal self‐injury (NSSI) and to identify adolescents who are at greater risk of engaging in this practice. Method The total sample comprised 965 adolescents (57% girls, aged 12–18 years) from several Chilean schools who answered the Inventory of Statements About Self‐Injury questionnaire. Results Young people with and without NSSI present different coping patterns, especially when compared by gender. Adolescents with repetitive NSSI (R‐NSSI) report using escape, search for friendship, and venting feelings as coping strategies as well as a more avoidant style and less search for family support than those adolescents without NSSI. Adolescents who present avoidance coping typology are three times more likely (relative risk = 3.5) to engage in NSSI than adolescents who present approach coping typology. R‐NSSI adolescents present higher scores on psychological symptomatology (within clinical ranges) than their N‐NSSI counterparts. Girls were more likely to present psychological symptoms than boys. Conclusion The authors highlight the usefulness of coping typologies for the detection of high‐risk populations for NSSI as well as the need to consider the gender variable. Professionals who detect clinical levels of symptomatology should also assess the presence of NSSI.