Background: School bullying has become a serious social problem that is closely associated with suicidal ideation for bullying victims among adolescents. Suicide is the leading cause of mortality in adolescents in China. Our previous work proposed that the three-dimensional psychological pain, especially pain avoidance, is the robust predictor for suicide. The relationships among being bullied, suicidal ideation, and psychological pain remain unclear. Objective: The aim of the present study is to examine whether psychological pain mediates the association between being bullied and suicidal ideation, and whether such mediation is moderated by family togetherness and peer support. Participants and Setting: Using cluster sampling, 2360 adolescents were recruited from two middle schools and two high schools in China. Methods: The adolescents completed questionnaires regarding their being bullied, suicidal ideation, psychological pain, family togetherness, and peer support. Structural equation modeling was used to explore the interactive effects of being bullied, psychological pain, family togetherness, and peer support on suicidal ideation. Results: Of the 2360 participants in the sample, 48 (2.03%) were identified as bullying victims. The association between being bullied and suicidal ideation was fully mediated by psychological pain among middle school students and partially mediated by psychological pain among high school students. Family togetherness moderated the indirect effect of being bullied on suicidal ideation via psychological pain among middle school students, whereas peer support moderated that effect among high school students. Conclusions: Interventions aimed at diminishing the negative effects of being bullied may start by increasing family togetherness or peer support and decreasing individuals' psychological pain.