Non-suicidal self-injury (NSSI) is deliberate harm to the body surface without suicidal intent, though it may be a predictor of suicide attempts. Our aim was to test the hypothesis that persisting and recovering NSSI may have a different longitudinal risk for suicidal ideation and behavior and that the intensity of Cyclothymic Hypersensitive Temperament (CHT) may increase this risk. Fifty-five patients (mean age 14.64 ± 1.77 years) referred for mood disorders according to the DSM-5 were consecutively recruited and followed-up for a mean of 19.79 ± 11.67 months and grouped according to the presence/absence of NSSI at baseline and follow-up into three groups: without NSSI (non-NSSI; n = 22), with NSSI recovered at follow-up (past-NSSI; n = 19), and with persistent NSSI at follow-up (pers-NSSI; n = 14). At follow-up, both NSSI groups were more severely impaired and failed to improve internalizing problems and dysregulation symptoms. Both NSSI groups reported higher scores in suicidal ideation compared to non-NSSI, but only pers-NSSI presented higher scores in suicidal behavior. CHT was higher in pers-NSSI, followed by past-NSSI and then by non-NSSI. Our data support a continuity between NSSI and suicidality, and they suggest the prognostic validity of persistent NSSI, associated with highest CHT scores.