The association between current level of suicidal ideation and physical activity was tested in a broad sample of veterans seeking care from the Veterans Health Administration. It was hypothesized that the two variables would be significantly inversely related. It was further hypothesized that the relationship would be mediated by depressive symptoms, disturbed sleep, and a measure of heart rate variability based on existing research regarding physical activity and sleep. Due to the first hypothesis not being supported, the second could not be tested. Post hoc correlation analyses did find associations between physical activity and depressive symptoms, in expected directions, and are discussed. Possible explanations for the negative findings along with recommendations for future research to continue exploring links between suicide risk and physical activity are presented. We conclude by suggesting that physical activity may have promise as a risk reduction intervention and that prospective data are more likely to yield significant results than the cross-sectional methodology employed in the current study.