The purpose of this study was to examine whether self-differentiation mediates the relationship between adolescents’ family functioning and self-esteem and to examine whether peer support and family conflicts had moderated mediating effects. For this purpose, 522 students from four high schools in Gyeonggi province were surveyed about their family functioning, self-differentiation, self-esteem, and peer support. The results were analyzed using SPSS 21.0 and PROCESS. The mediating, modulating, and moderated mediating effects were analyzed. The results of this study were as follows. First, correlation analysis showed that family functioning, self-differentiation, self-esteem, and peer support were significantly positively correlated. Second, the moderated mediating effects of peer support were as follows. First, self-differentiation had a partial mediating effect in the relationship between family functioning and self-esteem such that family functioning and self-differentiation were positively correlated and self-differentiation and self-esteem were positively correlated. Second, peer support had a moderating effect in the relationship between family functioning and self-differentiation that promoted self-differentiation. Thus, peer support affected family functioning and self-differentiation. Third, verifying the moderated mediating model of peer support by combining the mediation model of self-differentiation and the moderation model of peer support identified above showed that self-differentiation mediated the relationship between family functioning and self-esteem. Thus, family support affected self-differentiation and self-differentiation affected self-esteem. The significance of this study was as follows. First, it showed that self-differentiation significantly mediated the relationship between family functioning and self-esteem, clarifying the relationship between family functioning and self-esteem. Second, it showed that peer support moderated the relationship between family functioning and self-differentiation, identifying a mechanism that promotes self-differentiation. Third, it showed the mediation of self-differentiation of the relationship between family functioning and self-esteem depended on peer support.