The boundary modes of one-dimensional quantum systems can play host to a variety of remarkable phenomena. They can be used to describe the physics of impurities in higher-dimensional systems, such as the ubiquitous Kondo effect, or can support Majorana bound states, which play a crucial role in the realm of quantum computation. In this work we examine the boundary modes in an interacting quantum wire with a proximity-induced pairing term. We solve the system exactly using the Bethe ansatz and show that for certain boundary conditions the spectrum contains bound states localized about either edge. The model is shown to exhibit a first-order phase transition as a function of the interaction strength such that for attractive interactions the ground state has bound states at both ends of the wire, while for repulsive interactions they are absent. In addition we see that the bound-state energy lies within the gap for all values of the interaction strength but undergoes a sharp avoided level crossing for sufficiently strong interaction, thereby preventing its decay. This avoided crossing is shown to occur as a consequence of an exact self-duality which is present in the model.