Background: Participating in exercise has been frequently recognized as a protective factor of suicide-related outcome (e.g., suicidal ideation) in children and adolescents, albeit with less of a focus on university/college students (especially using nationally representative sample). This study aimed to explore the associations between regular exercise with suicide ideation, plan, and suicide attempts using the data from Health Minds Survey (2018–2019 round). Methods: Using the cross-sectional data from a nationally representative sample (n = 62,026; mean age = 23.1 years) with self-reported information on exercise and the three suicide-related measures, binary logistic regression was used to estimate the associations of exercise with suicide ideation, plans, and attempts, respectively, while controlling for age, gender, being an international student or not, and race/ethnicity. Results: Compared with university students reporting five or more hours for exercise a week, those reporting less were more likely to report yes in terms of suicide ideation and a similar association was also observed in exercise and suicide plan. However, exercise was not significantly associated with suicide attempts. Conclusion: Spending more time exercising may be a protective factor against suicide ideation and plan for university students. Owing to the cross-sectional design nature, our research findings should be further investigated for confirmation or negation.