Past research identifies a number of risk factors for adolescent self-harm, but often fails to account for overlap between these factors. This study investigated the underlying, broader concepts by identifying different psychological profiles among adolescents. We then compared new self-harm rates over a six-month period across different psychological profiles. Australian high school students (n = 326, 68.1% female) completed a questionnaire including a broad range of psychological and socioenvironmental risk and protective factors. Non-hierarchical cluster analysis produced six groups with different psychological profiles at baseline and rate of new self-harm at follow-up. The lowest rate was 1.4% in a group that appeared psychologically healthy; the highest rate was 37.5% in a group that displayed numerous psychological difficulties. Four groups with average self-harm had varied psychological profiles including low impulsivity, anxiety, impulsivity, and poor use of positive coping strategies. Identifying multiple profiles with distinct psychological characteristics can improve detection, guide prevention, and tailor treatment.