Objective This research study examines the relationship between past‐week physical activity and recent (i.e., within the past 30 days) nonsuicidal self‐injury (NSSI) in a sample of treatment‐seeking adults.  Method Participants included 353 (49.29% female; mean age = 35.16 years) adults attending a partial hospitalization program for acute psychiatric issues. Data were extracted from the program's admission battery of computer‐based self‐report measures completed by each participant on the first treatment day. Results Participants with a recent history of NSSI (i.e., within the past 30 days) engaged in significantly less past‐week physical activity than those without a history of NSSI. Group differences remained significant while controlling for anxiety, but not depression. Conclusion Results suggest that, on average, individuals who have never engaged in NSSI exercise more in the week prior to entering the partial hospital program than those who have a recent history of NSSI. Regular physical activity may be an interesting area of study to explore as a promising adjunctive intervention for NSSI (e.g., vigorous exercise as a way to tolerate distress and manage urges to self‐injure).