Non-suicidal self-injury (NSSI) in adolescents is a serious public health issue influenced by the interaction of multiple factors. The purpose of this study was to investigate the multiple mediating roles of alexithymia and self-esteem in the association between bullying victimization and NSSI in a sample of Chinese adolescents. A survey of 1299 adolescents from two public middle schools in Henan Province, China, was undertaken. Data were collected using the Chinese version of the Delaware bullying victimization scale-student (DBVS-S), the Toronto Alexithymia-20 Scale (TAS-20-C), the Rosenberg self-esteem scale (RSES), and the adolescent self-injury questionnaire. Besides, we performed a structural equation modeling (SEM) with latent variables using AMOS 26.0 to examine the relationship between variables and the mediating effects. The SEM analysis found that not only can bullying victimization directly impact NSSI, but that alexithymia and self-esteem have a chain mediating effect in the association between bullying victimization and NSSI. This mediating effect contributed 22.47% to the total effect. These findings validate bullying victimization, alexithymia, and low self-esteem are important variables that affect NSSI among Chinese adolescents. Educators need to implement some prevention and intervention strategies to ameliorate the campus atmosphere and adolescents' mental health aimed at avoiding NSSI behavior in adolescence.