While the role of empathy in socio-emotional functioning has received extensive support in the literature, affective empathy has been identified as a risk factor for internalising disorders. However, little literature has explored the mechanisms through which affective empathy exerts its counter-effect and what aspects could regulate this association. Self-compassion has been documented to reduce empathic distress and promote well-being. Therefore, this study aims to investigate (1) the relationships among affective empathy, self-compassion, negative emotions, and emotional problems, (2) the mediating role of negative emotions in the relationship between affective empathy and emotional problems, and (3) the moderating role of self-compassion in this indirect effect. A total of 446 adolescents aged 12 to 17 completed a set of self-reported questionnaires measuring affective empathy, self-compassion, negative emotions, and emotional problems. Results demonstrated that affective empathy positively correlated with negative emotions and emotional problems, whereas self-compassion showed negative associations with these outcomes. Structural equation modelling analyses revealed that negative emotions mediated the association between affective empathy and emotional problems, and this indirect relationship was moderated by self-compassion. These findings have implications for promoting adolescent well-being through integrating empathy and self-compassion training.