Nonsuicidal self-injury (NSSI) is a common but poorly understood phenomenon in adolescents. This study examined the Sustained Threat domain in female adolescents with a continuum of NSSI severity (N = 142). Across NSSI lifetime frequency and NSSI severity groups (No + Mild NSSI, Moderate NSSI, Severe NSSI), we examined physiological, self-reported and observed stress during the Trier Social Stress Test; amygdala volume; amygdala responses to threat stimuli; and resting-state functional connectivity (RSFC) between amygdala and medial prefrontal cortex (mPFC). Severe NSSI showed a blunted pattern of cortisol response, despite elevated reported and observed stress during TSST. Severe NSSI showed lower amygdala–mPFC RSFC; follow-up analyses suggested that this was more pronounced in those with a history of suicide attempt for both moderate and severe NSSI. Moderate NSSI showed elevated right amygdala activation to threat; multiple regressions showed that, when considered together with low amygdala–mPFC RSFC, higher right but lower left amygdala activation predicted NSSI severity. Patterns of interrelationships among Sustained Threat measures varied substantially across NSSI severity groups, and further by suicide attempt history. Study limitations include the cross-sectional design, missing data, and sampling biases. Our findings highlight the value of multilevel approaches in understanding the complexity of neurobiological mechanisms in adolescent NSSI.