Purpose Deliberate self‐harming behaviour is more prevalent within the prison environment than in community samples, with those in the first weeks of imprisonment at greatest risk. Research in this area has been largely atheoretical and a unifying model may improve the predictability of assessment and the development of intervention approaches. This study applied William and Pollock's (2001) Cry of Pain model as the theoretical process of deliberate self‐harm in the early stages of imprisonment. Methods A prospective study of new arrivals at an adult male prison. Participants (n = 181) completed questionnaires and it was hypothesized that the factors derived from the model (perceived stress, defeat, entrapment, and absence of rescue factors) would be predictive of future deliberate self‐harm. Prisoners with active psychosis and non‐English speakers were excluded. All participants were followed up for 4 months for instances of self‐harm. Eighteen participants engaged in self‐harm during this period. Results The Cry of Pain model was supported in the analysis. Hierarchical binary logistic regression confirmed that all features of the model were supported as predictive of future self‐harm in prison, even after controlling for previous self‐harm, depression, and hopelessness. Conclusion The Cry of Pain model is supported as a predictive model for deliberate self‐harm in prison. Suggestions are offered as to the impact on assessment and intervention directions in prison.