Undergraduate students with shame are more likely to experience suicidal ideation, but there remains a lack of research investigating the factors underlying this relationship. The interpersonal theory of suicide posits that suicidal ideation is influenced by the simultaneous presence of thwarted belongingness and perceived burdensomeness. We examined the prevalence of suicidal ideation among undergraduate students in China and examined the association between shame and suicidal ideation mediated by perceived burdensomeness and thwarted belongingness. A survey was conducted in July 2018 involving 2320 undergraduate students, and the twelve-month prevalence of suicidal ideation was 8.95%. Shame played a crucial role in predicting suicidal ideation, and the mediating effects of perceived burdensomeness and thwarted belongingness between shame and suicidal ideation were significant. Suicidal ideation is common among undergraduate students in China and merits greater attention. Shame, perceived burdensomeness, and thwarted belongingness may be important factors to assess among undergraduate students in suicide risk assessment and psychological intervention.