Early adolescents are at high risk for non-suicidal self-injurious behavior (NSSI). Based on the Rejection Sensitivity Model, the Experiential Avoidance Model, and the Affect Regulation Model of Self-Injury, this study aimed to explain how rejection sensitivity was related to NSSI among adolescents by unraveling the mediating role of social anxiety and the moderating role of regulatory emotional self-efficacy (RESE) in this relationship. A three-wave longitudinal investigation with a three-month interval was conducted among 726 adolescents (Mage = 13.47, SD = 0.95; 46.0% girls) from a middle school in North China. The Cross-Lagged Panel Models (RI-CLPMs) were utilized to estimate the associations among the study variables. The results indicated that the incidence rates of NSSI in the three measurements among adolescents were 33.3%, 30.3%, and 24.1%, respectively. Adolescents' rejection sensitivity and NSSI showed a declining trend over time. Furthermore, rejection sensitivity predicted NSSI through the longitudinal mediating effect of social anxiety. RESE played a protective role in adolescents' NSSI, but its moderating effect was not significant. The findings increase our understanding of the association between rejection sensitivity and NSSI in adolescents, and they benefit educators in conducting targeted interventions through improving adolescents' rejection sensitivity and social anxiety to reduce the risk of NSSI.