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Adolescent self-harm, particularly non-suicidal self-injury (NSSI), is increasingly understood as a multidetermined behavior shaped by emotional, cognitive, and interpersonal processes. This focused, non-systematic narrative review examines cognitive–affective correlates of adolescent non-suicidal self-injury, while drawing on broader self-harm and suicidality-related evidence only where relevant to the cognitive–affective formulation. Particular attention is given to executive functioning, emotional processing, and social–emotional and interpersonal cognition. The evidence is strongest for emotional processing, especially difficulties in emotion regulation, rumination, cognitive reappraisal, alexithymia, and the identification and modulation of internal states. Executive functioning also appears clinically relevant, but the current findings support a selective rather than global impairment account, with the clearest evidence involving inhibitory control, impulsivity-related regulation, and decision-making under affective pressure. Social–emotional and interpersonal cognition is treated as an emerging and indirectly supported domain; much of the available evidence concerns interpersonal and relational constructs, such as interpersonal sensitivity, relational interpretation, emotional communication, and family–emotional context, rather than direct measures of theory of mind, social inference, or emotion recognition accuracy. Overall, adolescent self-harm is best understood as emerging from the interaction of emotional dysregulation, weakened behavioral control under distress, and difficulties in social–emotional meaning-making during a developmentally sensitive period. A cognitively informed developmental framework may help refine theory, improve clinical formulation, and guide future mechanism-oriented research.