This study aimed to investigate the family, school, peer and psychological factors that contribute to adolescent suicidal ideation. The participants were 1,358 (680 boys and 678 girls) Hong Kong Chinese adolescents who were divided into younger (12.3 years, n = 694) and older (15.4 years, n = 664) age groups. By using structural equation modeling, the results showed that family cohesion and sense of school belonging were the core predictors of self-esteem and depression, and that depression was a strong mediator of suicidal ideation. In the prediction of suicidal ideation, peer support was significant among girls and younger adolescents only, whereas peer conflict was significant among older adolescents only. Family conflict, teacher support and academic pressure did not show any significant contribution in the prediction. The implications for future research and positive youth development programs are discussed.