The increasing number of asylum seekers and refugees in Europe calls for even more professionals to take care of refugees’ mental health. Although different studies claim that migration could be a potential risk factor for self‐harming behaviours, an in‐depth exploration of the presence and characteristics of self‐harm in the context of asylum is needed. In accordance with PRISMA guidelines, a systematic review was conducted across the databases Scopus, PubMed, Web of Knowledge and PsycArticles, regarding the main features of self‐harming behaviour among refugees in Europe. Twelve articles and 3 main trajectories were identified: (1) A context at‐risk: self‐harm and detention centres ; (2) A target at‐risk: self‐harm and unaccompanied minors ; (3) A comparison between the mental health of asylum seekers and natives . Research on this topic in Europe is still underdeveloped and disorganised. Studies have mainly carried out wider quantitative investigations on mental health, usually overlapping self‐harm with suicide. Detention centres emerged as the most widely investigated context and the one with the highest risk for self‐harming behaviours. Instead, unaccompanied minors emerged as a particularly vulnerable category. Research in this field should be improved, combining quantitative and qualitative methods for a deeper understanding of the meanings of self‐harm across cultures.