Background: Despite the recognition that depressive symptoms increase the risk of non-suicidal self-injury (NSSI) in adolescence, there are limited investigations of these associations and their mediators in adulthood. The current study examined the predictive validity of depressive symptoms on NSSI and perceived social support (PSS) characteristics and the mediating role of PSS domains in these relationships. Methods: Univariate group difference tests (i.e., t-tests and chi-square test of independence, 𝝌 2), regression, and mediation analyses were conducted with cross-sectional data from 435 community-based adults. Results: The findings indicate that individuals with clinically significant depressive symptoms were more likely to endorse a lifetime history of NSSI and greater rates of future self-rated risk. Clinically elevated depressive symptoms were associated with lower overall, familial, significant other, and friend PSS. Only familial PSS emerged as a significant predictor of self-rated future NSSI engagement likelihood and a statistical mediator between past-week depressive symptoms and prospective NSSI risk. Conclusions: These results may contribute to the advancement of assessment and intervention practices for depressive symptoms and NSSI in adulthood.