Background Non-suicidal self-injury (NSSI) is common during adolescence and is associated with substantial psychological burden and elevated subsequent suicide risk. Physical activity (PA) may be a modifiable correlate of NSSI, but prospective evidence on potential emotional mechanisms and social boundary conditions remains limited. This study examined whether baseline PA was associated with subsequent NSSI, whether anxiety symptoms accounted for part of that association, and whether baseline social support moderated the relevant pathways. Methods A school-based two-wave cohort of 756 Chinese adolescents and young students (mean age = 17.36 years, SD = 2.58; 51.7% female) was followed for 6 months. At Time 1 (T1), participants reported PA, social support, anxiety symptoms, NSSI, and demographic characteristics; anxiety and NSSI were reassessed at Time 2 (T2). Autoregressive regression models adjusted for baseline anxiety or NSSI as appropriate, together with age, gender, and urban/rural residence. Indirect effects were estimated with 5,000 bootstrap resamples, and interaction terms were used to examine first- and second-stage moderation. Results Higher T1 PA was associated with lower T2 NSSI after adjustment for T1 NSSI. The indirect association through T2 anxiety was −0.12 [95% CI (−0.18, −0.06)], representing 48.0% of the reported total association. T1 social support significantly moderated the T1 PA-T2 anxiety association ( p = 0.003); simple-slope estimates indicated a stronger inverse PA-anxiety association at higher social support. Social support did not significantly moderate the T2 anxiety-T2 NSSI association ( p = 0.281). Conclusion The findings are consistent with a model in which greater PA is prospectively associated with lower NSSI partly through lower subsequent anxiety, while social support may shape the PA-anxiety link. Because anxiety and NSSI were measured concurrently at follow-up, the indirect effect should not be interpreted as definitive causal mediation. Multi-wave and intervention studies are needed to establish temporal ordering and causality.
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