Suicidal ideation is a high risk factor for suicidal behavior in disadvantaged adolescents. This study aimed to reveal the potential mechanism underlying the influence of bullying victimization on suicidal ideation among boarding adolescents. A total of 2317 boarding adolescents from rural schools in Southwest China completed four questionnaires, namely, bullying victimization, self‐esteem, class climate and suicidal ideation. The results showed that (1) the prevalence of suicidal ideation was relatively high among rural boarders (29.4%), and there were significant gender and grade differences (mostly girls and eighth‐grade students were the most prevalent groups, p < 0.05); (2) bullying victimization was significantly correlated with boarding adolescents’ suicidal ideation and positively predicted their suicidal ideation (r = 0.26, p < 0.001; β = 0.25, p < 0.001); (3) self‐esteem played a crucial mediating role between boarding adolescents’ bullying victimization and suicide ideation in rural schools (β = 0.04, 95% confidence interval did not include 0); and (4) class climate moderated the mediating effect of self‐esteem. A positive class climate was found to be conducive to preventing suicidal ideation in bullied boarding adolescents, while a negative class climate was found to be more likely to stimulate suicidal ideation (β = ‐0.06, p < 0.05). Intervention activities based on self‐esteem and class climate are key to preventing the psychological crisis of boarding adolescents in rural China.