(1) Objective: This systematic review explores the intricate relationship between cyberbullying and non-suicidal self-injury (NSSI) in adolescents, acknowledging the dynamic nature of these phenomena in the evolving landscape of technology and social norms. (2) Methods: PubMed/MEDLINE, Web of Science, and EMBASE were searched, and 14 studies were selected based on the eligibility criteria, focusing on participants aged 10 to 19, cyberbullying roles, and NSSI as the predictor and outcome variables, respectively. (3) Results: Internalizing symptoms, specifically depression and anxiety, emerged as the most prominent mediators. However, factors such as externalizing symptoms, stress, and negative emotional responses (emotion reactivity, negative emotions) were also identified to play a significant role in the relationship between cyberbullying and NSSI. On the other hand, protective factors against the negative impact of cyberbullying on NSSI risk, such as strong peer connections and school engagement, were identified. (4) Discussions: This review underscores the multidimensional nature of the cyberbullying-NSSI association, emphasizing the roles of potential risk factors such as internalizing and externalizing symptoms, stress, and negative emotional response. Internalizing symptoms played a central role as pathways between cyberbullying victimization and NSSI. Additionally, social factors, including peer connections and school engagement, were found to act as protective elements. (4) Conclusion: Continuous investigation is crucial in order to adapt interventions to the evolving technological and social landscape. The study advocates for targeted interventions that prioritize positive social connections to mitigate the impact of cyberbullying on adolescent well-being.