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; [beta] = 0.25, p < 0.001); (3) self-esteem played a crucial mediating role between boarding adolescents' bullying victimization and suicide ideation in rural schools ([beta] = 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 ([beta] = -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.