The objective of this study was to test hypotheses on causality and selection regarding associations between cannabis use and deliberate self-harm (DSH) among adolescents. School surveys were conducted among 9,800 adolescents in England and Norway applying identical measures on deliberate self-harm, suicidal thoughts, cannabis use, and various potential confounders. Cannabis use was more prevalent in England than in Norway. It was associated with DHS, suicidal thoughts and various risk factors for DSH. However, these associations were stronger in Norway than in England. The adjusted associations between cannabis use and suicidal thoughts were non-significant in both countries. The adjusted cannabis-DSH association was non-significant in England but significant in Norway. Elevated risk of DSH in adolescent cannabis users seems to be mainly due to selection mechanisms. Thus the association is not likely to be direct but due to other shared contributory factors.