Background Suicide has become a serious worldwide mental health problem, including Asian countries. Suicidal ideation happens prior to the actual suicidal behaviour; thus, identifying the roots of suicidal ideation is vital. This study investigated the relationships between parental closeness, self‐efficacy and suicidal ideation among adolescents in Malaysia. The mediation effect of self‐efficacy on the relationship between parental closeness and suicidal ideation was also examined. Method A total of 684 school‐going adolescents aged 14–17 years old were recruited via multistage cluster sampling. Bivariate analysis was conducted using Pearson's correlation analysis. The mediation model was tested using SPSS macro developed by Preacher and Hayes. Results The results showed that mother closeness, father closeness and self‐efficacy had significant negative correlation with suicidal ideation. Specifically, self‐efficacy emerged as a partial mediator in the relation between mother closeness and suicidal ideation. Self‐efficacy also fully mediated the relationship between father closeness and suicidal ideation. Conclusions The findings implied that mother closeness had stronger correlation with adolescents' suicidal ideation compared to father closeness, while self‐efficacy plays an important role in the relationship between parental closeness and suicidal ideation. Prevention and intervention efforts by practitioners dealing with adolescents' mental health issues, specifically on suicidal ideation, should seriously consider providing them with skills to enhance mother–adolescent relationship and their self‐efficacy.