Non-suicidal self-injury (NSSI) constitutes a significant mental health concern that is highly prevalent in adolescence. Theoretical accounts and empirical research suggest that, in the short-term, NSSI may provide instant relief from intense psychological distress and ruminative thoughts. However, much less is known about these associations over time throughout adolescence. Therefore, we designed a three-year longitudinal study and examined the bidirectional prospective associations between psychological distress, rumination, and NSSI. We assessed 528 secondary school students (at Time 1: Mean age = 15.0 years, SD = 1.85, range 11 to 19 years, 50.6% female, 98.7% of Belgian nationality) using self-report questionnaires at three annual measurement points. Cross-lagged structural equation modelling was performed to examine the directionality of associations. Results indicated positive bidirectional associations between (1) distress and NSSI; and positive unidirectional associations between (2) distress and rumination, and (3) NSSI and rumination. The current study embeds NSSI in a broader network of cognitive and emotional antecedents and consequents, and is the first to consider the long-term influence these components exert on each other. As NSSI may play a significant part in increasing distress and rumination, the behaviour potentially sustains a longer-term maladaptive cycle between emotion, cognition, and NSSI. Clinical implications of these findings are discussed.