Non-suicidal self-injury (NSSI), a highly prevalent symptom in adolescence, has been associated with impulsivity. Behavioral measures of response inhibition in combination with the recording of brain activity potentially improve the understanding of the etiology of the behavior. We therefore investigated prefrontal cortex (PFC) oxygenation during a response inhibition task using functional near-infrared spectroscopy (fNIRS) in n = 152 adolescents with NSSI and n = 47 healthy controls. We compared groups regarding behavioral performance and PFC oxygenation and tested whether the association between task performance and PFC oxygenation differed between groups. PFC oxygenation was slightly higher in adolescents with NSSI than in controls. Further, there was evidence for a group by performance interaction: In healthy controls, higher oxygenated hemoglobin was associated with better task performance, which was not the case in the NSSI group. We did not find evidence of associations between PFC oxygenation and clinical measures. Our study provides preliminary evidence of altered brain functional correlates of response inhibition in adolescents with NSSI potentially reflecting deficient top-down regulation of limbic regions through prefrontal regions. Due to methodological limitations of the current study, findings must be interpreted with caution and future studies should optimize task designs for fNIRS processing.