Suicidal behavior and non-suicidal self-injury (NSSI) are common in adolescent patients with major depressive disorder (MDD). Thus, delineating the unique characteristics of suicide attempters having adolescent MDD with NSSI is important for suicide prediction in the clinical setting. Here, we performed psychological and biochemical assessments of 130 youths having MDD with NSSI. Participants were divided into two groups according to the presence/absence of suicide attempts (SAs). Our results demonstrated that the age of suicide attempters is lower than that of non-attempters in participants having adolescent MDD with NSSI; suicide attempters had higher Barratt Impulsiveness Scale (BIS-11) impulsivity scores and lower serum CRP and cortisol levels than those having MDD with NSSI alone, suggesting levels of cortisol and CRP were inversely correlated with SAs in patients with adolescent MDD with NSSI. Furthermore, multivariate regression analysis revealed that NSSI frequency in the last month and CRP levels were suicidal ideation predictors in adolescent MDD with NSSI, which may indicate that the increased frequency of NSSI behavior is a potential risk factor for suicide. Additionally, we explored the correlation between psychological and blood biochemical indicators to distinguish suicide attempters among participants having adolescent MDD with NSSI and identified a unique correlation network that could serve as a marker for suicide attempters. Our research data further suggested a complex correlation between the psychological and behavioral indicators of impulsivity and anger. Therefore, our study findings may provide clues to identify good clinical warning signs for SA in patients with adolescent MDD with NSSI.