This study explores the association between lesbian, gay or bisexual (LGB) status and self-harm in UK higher education students. There is currently limited data on this association, and the role psychological variables have in potentially explaining this link, in UK students. We examine whether LGB status is associated with self-harm (both non-suicidal self-injury [NSSI] and suicide attempts [SA]), and whether 4 psychological variables (depression, anxiety, belongingness, self-esteem) mediate this association. A cross-sectional survey was used. UK university students (n = 707) completed an online survey including measures of self-harm, affective symptoms, belongingness, and self-esteem. Latent Variable Modelling (LVM) was used to test our hypotheses. LGB status remained associated with an elevated risk of NSSI and SA even after accounting for mediating factors. Self-esteem and (in the case of SA but not NSSI) thwarted belongingness, did, however, explain some of this association and were correlated with self-harm risk. The findings suggest that psychological factors may account for the association between LGB status and self-harm and, as such, prevention and intervention efforts directed at these psychological mediators may help to reduce self-harm risk in this population.