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Non-suicidal self-injury (NSSI), as a highly prevalent psychiatric symptom in adolescents and young adults, is defined as the deliberate destruction of body tissue without suicidal intent. Impulsivity and dysfunctional response inhibition have been suggested to play a central role in adolescents’ vulnerability to self-harm. To investigate the potentially distinct neurobiology of NSSI, we used a well-established Go/No Go task in which activation of the inferior frontal gyrus (IFG) and dorsal anterior cingulate cortex (dACC) is interpreted as a neural correlate of processing failed response inhibition. Task-based functional magnetic resonance imaging data were obtained from 14 adolescents with a diagnosis of major depression and a history of NSSI (MD-NSSI), 13 depressed adolescents without NSSI (MD-only), and 14 healthy controls (HC). In line with hypotheses of dysfunctional response inhibition, we observed increased rates of commission errors in MD-NSSI along with significantly reduced error-related activations of the dACC and IFG. Intact response inhibition, as reflected by low commission error rates not different from HC, was observed in MD-only, along with increased activation of the error-processing network. Our findings support the hypothesis of a distinct neurobiological signature of NSSI. Further research on biomarkers of NSSI could focus on behavioral and neural correlates of failed response inhibition.