Non-suicidal self-injury (NSSI) in adolescents is a major public health concern. The first goal of our study was to describe the characteristics and functions of NSSI and NSSI thoughts in an adolescent outpatient sample. The second goal was to examine which clinical factors discriminate between these two groups of patients. A group of 267 subjects was recruited from the Adolescent Outpatient Psychiatric Services, Jimenez Diaz Foundation (Madrid, Spain) from November 2011 to October 2012. All participants were administered the Spanish version of the Self-Injurious Thoughts and Behaviors Interview (SITBI). A total of 21.7% of patients reported having engaged in NSSI at least once in their lifetime. The most strongly endorsed function for NSSI was automatic negative reinforcement. In comparison with patients in the NSSI Thoughts group and the control group, patients in the NSSI group scored higher in Internalization of Anger and in all the scales comprising the Children’s Depression Inventory. Our findings on the prevalence and functions of NSSI are consistent with the literature. NSSI was mainly performed for emotion regulation purposes; specifically, NSSI seems to be used to cope with anger and depression. In addition, internalization of anger might play a significant role in the maintenance of this behavior.