Research shows poor decision making in adolescents who self-harm and a positive correlation between decision-making abilities and duration since last self-harm episode. This exploratory study investigated whether decision making in self-harming adolescents could be improved through treatment with a novel cognitive behavior therapy (CBT). It also investigated whether improvement in decision making following treatment was linked to self-harm cessation. Adolescent self-harmers receiving CBT (n = 24) or no treatment (n = 9) and healthy controls (n = 22) were longitudinally compared on the Iowa gambling task (IGT). Significant IGT improvements were only observed for adolescents who self-harm following CBT. CBT may benefit adolescent self-harmers and generate decision-making improvements.