Non-suicidal and suicidal self-injury are very destructive, yet surprisingly common behaviours. Depressed mood is a major risk factor for non-suicidal self-injury (NSSI), suicidal ideation and suicide attempts. We conducted a genetic risk prediction study to examine the polygenic overlap of depressive symptoms with lifetime NSSI, suicidal ideation, and suicide attempts in a sample of 6237 Australian adult twins and their family members (3740 females, mean age = 42.4 years). Polygenic risk scores for depressive symptoms significantly predicted suicidal ideation, and some predictive ability was found for suicide attempts; the polygenic risk scores explained a significant amount of variance in suicidal ideation (lowest p = 0.008, explained variance ranging from 0.10 to 0.16 %) and, less consistently, in suicide attempts (lowest p = 0.04, explained variance ranging from 0.12 to 0.23 %). Polygenic risk scores did not significantly predict NSSI. Results highlight that individuals genetically predisposed to depression are also more likely to experience suicidal ideation/behaviour, whereas we found no evidence that this is also the case for NSSI.