Self-harm in young people is common, and previous studies have shown that insufficient sleep or depression was associated with self-harm. However, the joint association of insufficient sleep and depression with self-harm is unknown. We employed representative population-based data from the “Surveillance for Common Disease and Health Risk Factors Among Students in Jiangsu Province 2019” project. College students reported their self-harm behavior over the past year. Rate ratios (RRs) and corresponding 95% confidence intervals (CIs) for self-harm in relation to sleep and depression were modeled using negative binomial regression with a sample population as an offset, adjusting for age, gender, and region. The instrumental variable approach was used for the sensitivity analyses. Of the study population, approximately 3.8% reported self-harm behaviors. Students with sufficient sleep experienced a lower risk of self-harm than those with insufficient sleep. Compared with students with sufficient sleep and the absence of depression, the adjusted risk of self-harm was elevated 3-fold (1.46–4.51) in those reporting insufficient sleep in the absence of depression, 11-fold (6.26–17.77) in those with sufficient sleep and definite depression, and 15-fold (8.54–25.17) in those with both insufficient sleep and definite depression. The sensitivity analyses indicate that insufficient sleep remained a contributing risk factor for self-harm. Lack of sleep in young people is significantly associated with self-harm, particularly in the presence of depression. The provision of mental health care and attention to sleep deprivation are particularly important for college students.