It has been proposed that affective instability may be associated with thoughts about self-injury. The aim of this study was to test the hypotheses that instability in feelings of depression, but not anxiety, guilt, or hostility, would predict greater concurrent and subsequent thoughts about self-injury. Thirty-six individuals with psychosis completed questions on touch-screen mobile phones at semi-random times each day for one week. The instability of depression predicted greater concurrent and subsequent levels of thoughts about self-injury, even when controlling for depression level. Conversely, self-injurious thoughts predicted more stable depression. The instability of guilt, anxiety, and hostility did not significantly predict levels of thoughts about self-injury. Results indicate that a variable depressive state may trigger the onset of thoughts about self-injury, which increases the risk of its subsequent recurrence. The onset of self-injurious thoughts may, however, have a stabilizing effect on subsequent depression.