(1) Purpose: To analyze the role of psychological problems in connection with school bullying and non-suicidal self-injury (NSSI) among rural primary and middle school students in developing areas of China. (2) Methods: A multi-stage, stratified, cluster random sampling method was used to select 2284 rural primary and middle school students in Jiangxi Province for study. Questionnaires regarding the health risk behaviors of children in developing areas were left behind at primary and middle schools, and they were later collected and analyzed by using the mental health diagnostic monitoring scale for Chinese primary and middle school students. Pearson correlation, logistic regression, and bootstrap tests were conducted to analyze the association between psychological problems, school bullying, and NSSI. (3) Results: The incidence of NSSI in rural primary and middle school students in Jiangxi Province was 14.84%. Compared with other children with behavioral problems, those who had experienced school bullying and had mild/severe psychological problems were more likely to have engaged in NSSI behaviors (p < 0.001). Psychological problems have a mediating effect between school bullying and NSSI, which accounted for 12.96% of the total effect. (4) Conclusion: Psychological problems are likely an effect modifier in the connection between school bullying and NSSI behaviors. Therefore, effectively targeting psychological problems in rural primary and middle school students in Jiangxi Province may help prevent and control NSSI behaviors in students who have experienced school bullying.