Pregnant adolescents are a high-risk population for suicide. However, a knowledge gap still exists on how sexual and religious knowledge, attitudes and practices (KAP) influence suicidal ideation (SI) in teenage pregnancy. We aim to explore the interplay between psychiatric diagnoses, sociodemographic factors and KAP of sexual and religious issues as risk factors of SI among 114 pregnant Malaysian adolescents from 6 rehabilitation centers and a tertiary hospital. Single sexual partner was an independent predictor of SI, suggesting the role of less sexual experience as a risk factor for SI after controlling for major depression. Participants who were unsure versus those who agreed with the statement that most religions' viewed sex outside marriage as wrong had a lower risk of SI after controlling for major depression. Pregnant adolescents with a single sexual partner were significantly associated with current SI. Ambivalence towards religious prohibitions on premarital sex may protect against suicidal ideation.