Little research has examined potential risk factors for direct versus indirect self‐injury among adolescents. To address this limitation, 541 clinically referred adolescents were assessed using the interRAI Child and Youth Mental Health Assessment. Logistic regression analyses revealed that older females who experienced heightened depressive symptoms and neighborhood violence were at increased risk for direct self‐injury, specifically nonsuicidal and suicidal self‐injury. Additionally, adolescents who experienced higher levels of caregiver distress were at greater risk of suicidal self‐injury. In contrast, older adolescents who experienced heightened aggressive behavior were at increased risk for one form of indirect self‐injury, substance use. Findings suggest that nonsuicidal self‐injury, suicidal self‐injury, and substance use are associated with differential risk factors. Implications for targeted prevention strategies are discussed.