Abstract Purpose To examine mental health indicators, in aggregate and stratified by sex, among a population-based sample of U.S. military veterans. Methods Data are from veteran who completed the Veterans Health Module (VHM) of the 2011 and 2012 Behavioral Risk Factor Surveillance System ( n  = 10,406). VHM items included lifetime diagnoses of mental illnesses, service in a combat zone, sources of mental health care, and past 12-month suicidal ideation and attempt. We used weighted, multiple logistic regression models, adjusted for sociodemographics, to examine differences in suicidal ideation and attempt among men and women. Results Overall, 5.0% of the sample reported recent suicidal ideation and 1.0% reported attempting suicide. Among men, unemployment was positively associated with suicidal ideation, and combat exposure was negatively associated with suicidal ideation. Being separated, divorced, or widowed was positively associated with suicidal ideation among women. After adjusting for sociodemographic and VHM variables, veterans who sought mental health treatment from both Veterans Affairs (VA) and non-VA facilities had more than fourfold increased odds of suicidal ideation than veteran who sought mental health treatment from only VA facilities (adjusted odds ratio = 4.02; 95% confidence interval 1.23–13.13). Conclusions Correlates of suicidal ideation differ between male and female veterans. Veterans who use both non-VA and VA facilities for mental health services may have greater risk of self-directed violence.