Levels of suicidal behavior among gay men are a significant concern. The Interpersonal Theory of Suicide proposes that being unpartnered is a risk factor for suicidal behavior due to thwarted belongingness; however, this has yet to be tested empirically. Recent studies also indicate that the two components of hope, agency and pathways, may be protective against suicidal behavior. The first aim of the current study was to investigate whether thwarted belongingness mediates the relationship between relationship status and suicidal behavior in gay men. The study also examined whether agency and pathways weaken the association between relationship status and thwarted belongingness, and whether agency weakens the relation between thwarted belongingness and suicidal behavior. Method: A sample of 370 self-identified gay men aged from 18 to 66 years old (M = 26.13, SD = 8.02) completed the Suicidal Behaviors Questionnaire—Revised, the Interpersonal Needs Questionnaire—Revised, and the Adult Dispositional Hope Scale. Results: Results showed that thwarted belongingness mediated the relationship between relationship status and suicidal behavior. The hypothesized moderated-mediation models were not supported. Conclusions: These findings have implications for the development of interventions that aim to reduce suicidal behaviors in gay men.