This study systematically reviewed and summarized current research evidence about the links between non-suicidal self-injury (NSSI), problem gambling, problem gaming, and problematic internet use (PIU). A total of 40 studies were included in the review. Most studies were conducted in China and used a cross-sectional design (i.e., collected data at only one timepoint). A total of 4 studies examined the link between problem gambling and NSSI, 7 examined problem gaming, and 29 examined PIU. Problem gambling, problem gaming, and PIU are all linked to NSSI. Coping with negative emotions, anxiety, social support, and a tendency to act impulsively appear to be some underlying factors.