Self-inflicted injury (SII) in adolescence marks heightened risk for suicide attempts, completed suicide, and adult psychopathology. Although several studies have revealed elevated rates of depression among adolescents who self injure, no one has compared adolescent self injury with adolescent depression on biological, self-, and informant-report markers of vulnerability and risk. Such a comparison may have important implications for treatment, prevention, and developmental models of self injury and borderline personality disorder. We used a multi-method, multi-informant approach to examine how adolescent SII differs from adolescent depression. Self-injuring, depressed, and typical adolescent females (n = 25 per group) and their mothers completed measures of psychopathology and emotion regulation, among others. In addition, we assessed electrodermal responding (EDR), a peripheral biomarker of trait impulsivity. Participants in the SII group (a) scored higher than depressed adolescents on measures of both externalizing psychopathology and emotion dysregulation, and (b) exhibited attenuated EDR, similar to patterns observed among impulsive, externalizing males. Self-injuring adolescents also scored higher on measures of borderline pathology. These findings reveal a coherent pattern of differences between self-injuring and depressed adolescent girls, consistent with theories that SII differs from depression in etiology and developmental course.