This study examined the mediating effects of psychological strain (Strain Theory) as a possible explanation for the relationship between religiosity and suicidality among Chinese young adults. A questionnaire was administered that included the Religious Orientation-Revised Scale (RO-RS), Suicidal Behaviors Questionnaire-Revised (SBQ-R), and Psychological Strains Scale (PSS). Using cluster sampling, we recruited 13,250 college students across seven provinces in China. Both univariate and multivariate analyses were used to identify the main determinants of suicidality. We further explored the mediation effect of psychological strains on the relationship between religion and suicidality. We found that non-believers obtained the lowest PSS. Believers of Islam and other religions obtained higher RO-RS scores compared to non-religious participants. Psychological strain imposed a complete effect between religiosity and suicidality. A positive relationship between religion and suicidality was present among the participants of the study. Individuals who are affiliated with a religion are considered as a marginalized population in China, which may lead to psychological strains, further increasing the risk of suicidality.