BACKGROUND: Peer victimization (PV) is one of the major causes of non-suicidal self-injury. Non-suicidal self-injury (NSSI), peer victimization, social anxiety, and mobile phone addiction are significantly related; however, the interaction mechanism and effect of sex differences remain to be determined. OBJECTIVE: Herein, we investigated the relationship between peer victimization and NSSI among Chinese high school students. We also explored the chain mediating roles of social anxiety and mobile phone addiction and the regulatory role of sex. The findings of this study provide insights for theoretical interventions based on internal mechanisms. METHOD: A self-reported survey of 14,666 high school students from Sichuan County was conducted using a peer victimization scale, NSSI scale, social anxiety scale, and mobile phone addiction scale. A self-administered questionnaire was used to capture sociodemographic information. RESULTS: Peer victimization, social anxiety, and mobile phone addiction were positively correlated with NSSI. Peer victimization had significant direct predictive effects on NSSI (95% CI: 0.341, 0.385) and significant indirect predictive effects on NSSI through social anxiety (95% CI: 0.008, 0.019) or mobile phone addiction (95% CI: 0.036, 0.053). Peer victimization had significant indirect predictive effects on NSSI through social anxiety as well as mobile phone addiction (95% CI: 0.009, 0.014). The first stage (predicting the effect of peer victimization on NSSI) and the third stage (predicting the effect of mobile phone addiction on NSSI) were both moderated by sex. CONCLUSIONS: Peer victimization could directly predict NSSI and indirectly predict NSSI through social anxiety and mobile phone addiction. Thus, social anxiety and mobile phone addiction exhibited chain mediating effects between peer victimization and NSSI in high school students; moreover, sex might be involved in the regulation of the mediation process.