Our aim was to determine the influence of the variables Death Anxiety, Loneliness, and Depression on suicidal ideation in Peruvian adults during the COVID-19 pandemic. The sample consisted of 1342 subjects from Lima–Callao and regions of Peru, selected with non-probabilistic purposive sampling. A predictive, non-experimental design with the cross-sectional measurement using previously validated questionnaires was conducted. The differential effect of the variables Death Anxiety, Loneliness, and Depression on suicidal ideation was found. The two models obtained through structural equation modeling highlight a significant predictive relationship of Depression directly on suicidal ideation, while Loneliness is the second factor that best predicts suicidal ideation’s indirect relationships. Likewise, being single and unemployed were found to be significantly associated (p < 0.05) and to have a differential effect on Death Anxiety, Loneliness and Depression. The same trend was evidenced by people aged less than 30, with no schooling, not practicing sports and sleeping less than 4 h; however, neither having had COVID-19 nor place of residence was found to influence suicidal ideation. As a conclusion, depressive symptomatology is the best predictor of suicidal ideation. Likewise, loneliness indirectly influences suicidal ideation.