Background: Neuroimaging studies suggest alterations in prefrontal cortex (PFC) activity in healthy adults under stress. Adolescents with non-suicidal self-injury (NSSI) report difficulties in stress and emotion regulation, which may be dependent on their level of borderline personality disorder (BPD). Aims: The aim was to examine alterations in the PFC in adolescents with NSSI during stress. Method: Adolescents (13–17 years) engaging in non-suicidal self-injury (n = 30) and matched healthy controls (n = 29) performed a task with low cognitive demand and the Trier Social Stress Test (TSST). Mean PFC oxygenation across the PFC was measured with an eight-channel near-infrared spectroscopy system. Alongside self-reports on affect, dissociation and stress, BPD pathology was assessed via clinical interviews. Results: Mixed linear-effect models revealed a significant effect of time on PFC oxygenation and a significant time×group interaction, indicating increased PFC activity in patients engaging in NSSI at the beginning of the TSST compared with healthy controls. Greater BPD symptoms overall were associated with an increase in PFC oxygenation during stress. In exploratory analyses, mixed models addressing changes in PFC connectivity over time as a function of BPD symptoms were significant only for the left PFC. Conclusions: Results indicate differences in the neural stress response in adolescents with NSSI in line with classic neuroimaging findings in adults with BPD. The link between PFC oxygenation and measures of BPD symptoms emphasises the need to further investigate adolescent risk-taking and self-harm across the spectrum of BPD, and maybe overall personality pathology, and could aid in the development of tailored therapeutic interventions.