Background: The evidence is limited for the dose–response association between breakfast skipping and suicidality. The underlying pathway from breakfast skipping to suicidality has also rarely been explored in previous studies. Methods: The data of Youth Risk Behavior Surveys (YRBSs) of the United States from 2011 to 2019 were used with a sample size of 74,074. The male: female ratio was nearly 1:1. Binary logistic regression models with complex sampling design were adopted to show the effect of breakfast skipping on weight status, depressive symptoms, and suicidality. Serial mediation was used to explore the association between breakfast skipping and suicidality by overweight/obesity and depressive symptoms. Findings: The weighted prevalence rates (95% confidence interval) of suicidal ideation, suicide plan, suicide attempt, and medically serious suicide attempt for skipping breakfast totally (0 times/week) were 25.6% (24.4–26.8%), 21.7% (20.5–22.9%), 14.2% (13.0–15.3%), and 5.3% (4.6–5.9%). Breakfast skipping was significantly associated with increased risk of suicidal ideation, suicide plan, suicide attempt, and medically serious suicide attempt. There was statistical significance for the linear dose–response association between breakfast skipping and overweight/obesity, depressive symptoms, and suicidality regardless of sex and age. A serial mediation with effect sizes between 39.68% and 51.30% for the association between breakfast skipping and suicidality by overweight/obesity and depressive symptoms was found in this study. Conclusions: This study emphasizes the hazards of breakfast skipping, which could increase the risk of suicidality among adolescents. Overweight/obesity and depressive symptoms as the mediating factors for the association between breakfast skipping and suicidality should also be with more attention.