Curiosity, the tendency to engage in novel and challenging opportunities, may be an important source of resilience for those at risk for suicide. We hypothesized that curiosity would have a buffering effect against risk conferred by multiple sources of distress, whereby curiosity would be associated with reduced suicidal ideation and increased coping efficacy. As part of a larger intervention trial designed to improve coping skills and reduce suicidal ideation, 117 military veterans with suicidal ideation completed measures of curiosity and distress (perceived stress, depression, anxiety, and sleep disturbances) at baseline, and completed measures of suicidal ideation and coping efficacy (to stop negative thoughts, to enlist support from friends and family) at baseline and 3-, 6-, and 12-week follow up. Growth curve models showed that curiosity moderated the association between distress and suicidal ideation at baseline and that curiosity moderated the association between distress and increased coping efficacy to stop negative thoughts over time. Findings suggest that curiosity may buffer against the effect of heightened levels of distress on suicidal ideation and help facilitate stronger gains in coping efficacy over time. Additional work should further examine the role of curiosity as a protective factor for veterans with suicidal ideation.