Despite sexual orientation disparities in suicide, there is limited research examining factors associated with suicide risk among sexual minorities while considering subgroup differences within this group. This study identified differences between sexual minorities at risk for suicide and those not at risk. The study also examined heterosexist victimization, as one form of minority stress, and two relational mechanisms (i.e., shame and rejection sensitivity) as risk factors for suicidality. We examined a moderated-mediation model, in which we tested gender and sexual orientation differences in the mediating effects of the relational mechanisms on the association between heterosexist victimization and suicide risk. Participants were recruited online and completed an online survey. The sample included 719 sexual minority adults. Of the sample, 27.7% were at risk for suicide. Suicide risk varied by age, gender, sexual orientation, income, education, and relationship status. Heterosexist victimization, shame, and rejection sensitivity were significant risk factors for suicide. Shame and rejection sensitivity were mediators of the association between heterosexist victimization and suicide risk for subgroups of sexual minorities, mostly lesbian and gay individuals and to some extent bisexual individuals. The findings underscore minority stress, shame, and rejection sensitivity as key intervention points.