Purpose: Although adolescents' mental health problems and self-injurious thoughts and behaviors (SITBs) have been a serious public health concern worldwide, descriptions of risk factors for SITBs often fail to take migration into account. There are roughly 35.8 million migrant children in China who, with their parents, moved from original rural residence to urban areas. Little is known about migrant children's mental health status and levels of SITBs. This study aims to explore the mental health status and SITBs of migrant children living in eastern coastal China in comparison to their urban counterparts. Methods: This study was a cross-sectional survey conducted in 13 schools. Mental health status and SITBs were measured via self-administered questionnaires. Associations between strengths and difficulties questionnaire outcomes and SITBs were investigated. Results: Data from 4217 students (1858 migrant children and 2359 urban children) were collected. After controlling for gender, age, family economic status, parent's education level and parents' marital status, migrant children scored higher for total difficulties (p < 0.001) and externalizing problems (p < 0.001) than did urban children and reported higher rates of suicidal ideation (p < 0.05) and self-injurious behaviors (p < 0.05). Conclusions: Migrant children, compared with urban children, have a higher risk of externalizing problems and SITBs. It is urgent to address these problems by providing both mental health services at migrant-exclusive schools and equitable education and social welfare to migrant children.