Objective The interpersonal‐psychological theory of suicidal behavior posits that 2 proximal, causal, and interactive risk factors must be present for someone to desire suicide: perceived burdensomeness and thwarted belongingness. The purpose of the present study was to evaluate the predictive power of these 2 risk factors in a prospective study. Method A total of 231 adult outpatients (age: mean = 38.1, standard deviation = 12.3) undergoing cognitive‐behavioral therapy took part in a pretreatment and a midtreatment assessment after the 10th therapy session. Results Perceived burdensomeness, thwarted belongingness, and the interaction between these 2 risk factors did not add incremental variance to the prediction of midtreatment suicide ideation after controlling for age, gender, depression, hopelessness, impulsivity, lifetime suicide attempts, and pretreatment suicide ideation. The best predictor of midtreatment suicide ideation was pretreatment suicide ideation. Conclusion Results offer only limited support to the assumptions of the interpersonal theory of suicide.