Nonsuicidal self-injury (NSSI) refers to purposely injuring one’s body without suicidal intent via methods such as cutting or hitting oneself, and is a serious health concern that has been linked to detrimental behavioral and physical health consequences. One of the primary reasons that people report engaging in NSSI is that it appears to help them cope with intense affective states and upsetting thoughts, both of which they perceive as unbearable at the time. However, empirical investigation into the affective and cognitive states preceding NSSI has been limited, especially during daily life. The current study utilized ecological momentary assessment to measure multiple daily recordings of negative affect, repetitive negative thinking (RNT), and NSSI thoughts and behaviors among a community sample of adolescents and young adults (N = 47). Findings indicated that anxiety and feeling overwhelmed predicted NSSI most strongly when RNT was elevated, suggesting that these three factors may interact in a process creating an aversive affective state that self-injurers attempt to “escape” by engaging in NSSI.