Objective: Research has identified non-suicidal self-injury (NSSI) as a robust correlate of suicidal thoughts and behaviors; however, little is known regarding why these constructs may be related. Consistent with the interpersonal theory of suicide, this study investigated thwarted belongingness (TB), perceived burdensomeness (PB), and capability for suicide (CS) as explanatory links in the association between NSSI, ideation, and suicide attempt history. Method: Military service members and veterans (N = 973; agemean = 29.9 years, 78.8% male, 63.8% Caucasian/White) completed measures of lifetime NSSI and suicide attempts; current suicidal ideation; TB, PB, and CS; and related psychiatric symptoms. Bootstrap moderated mediation analyses were employed to examine whether (a) TB moderated the mediating effect of PB on NSSI and ideation, (b) PB moderated the mediating effect of TB on NSSI and ideation, and (c) CS moderated the mediating effect of TB and PB on NSSI and attempts. Results: TB and PB significantly accounted for the relationship between lifetime NSSI and current ideation. TB did not moderate the mediating effect of PB on NSSI and ideation, and PB did not moderate the mediating effect of TB. However, CS significantly moderated the mediating effects of TB and PB on NSSI and attempt history. Conclusions: The interpersonal theory of suicide hypotheses were partially supported. Consistent with the theory, the interaction of TB and PB only explained NSSI and attempt history among service members with high levels of CS. TB and PB only individually explained the association between lifetime NSSI and recent suicidal ideation. Prospective studies are warranted to replicate these findings across other military samples.