The invention relates to a self-climbing perimetric protection system with at least one module comprising two masts (1) spaced out from one another and formed by two vertical channel irons (1) with U-shaped cross section between which pairs of support elements (6, 7) are immobilized in different horizontal planes; a protection panel (2) attached to the masts; pairs of anchors (4) comprised by respective anchoring frames (11) coupled to guiding heads (10) each comprising two mobile horizontal claws (16) which, in the closed position, brace the mast (1); and a rotational bearing rocker (13, 13′) in a vertical plane between a position in which its front part (13) is rotated and supports a support element (6, 7) and a position in which it is rotated downwardly in which it allows the passage of the support elements (6, 7), the pairs of anchors being immobilized at different heights in a part of a building (5, 9) in which they support a pair of support elements (6, 7).