The aims of this study were to identify cognitive vulnerabilities and to examine the protective role of active engagement in sport in the development of (1) suicide ideation and (2) hopelessness. In Study 1,102 male military recruits were the participants. Scores on the Automatic Thoughts Questionnaire (ATQ-30), but not on the Dysfunctional Attitude Scale (DAS-A), predicted presence of suicide ideation three months later. The results of Study 2 with 84 university students showed that scores on the ATQ-30, but not on the DAS-A were significantly associated with hopelessness. Moreover, students actively engaged in sports exhibited less hopelessness. The findings suggest that active engagement in sports is strongly associated with negative automatic thoughts, suicidal thoughts, and hopelessness.