Background: Studies conducted in the UK and in Ireland have reported increased rates of self-harm in adolescent females from around the time of the 2008 economic recession and through periods of subsequent national austerity programme implementation. It is not known if incidence rates have increased similarly in other Western European countries during this period. Methods: Data from interlinked national administrative registers were extracted for individuals born in Denmark during 1981–2006. We estimated gender- and age-specific incidence rates (IRs) per 10,000 person-years at risk for hospital-treated non-fatal self-harm during 2000–2016 at ages 10–19 years. Results: Incidence of self-harm peaked in 2007 (IR 25.1) and then decreased consistently year on year to 13.8 in 2016. This pattern was found in all age groups, in both males and females and in each parental income tertile. During the last 6 years of the observation period, 2011–2016, girls aged 13–16 had the highest incidence rates whereas, among boys, incidence was highest among 17–19 year olds throughout. Conclusions: The temporal increases in incidence rates of self-harm among adolescents observed in some Western European countries experiencing major economic recession were not observed in Denmark. Restrictions to sales of analgesics, access to dedicated suicide prevention clinics, higher levels of social spending and a stronger welfare system may have protected potentially vulnerable adolescents from the increases seen in other countries. A better understanding of the specific mechanisms behind the temporal patterns in self-harm incidence in Denmark is needed to help inform suicide prevention in other nations.