Objectives: This study analyzed the effect of the relationship between health behaviors and suicidal ideation (the mediating effect of depression) on the Korean youth. It attempted to find more comprehensive and practical countermeasures of suicidal ideation by analyzing how lifestyle and health-related factors influence depression and suicidal ideation in young people in their 20s and 30s. Methods: This study used SPSS 27.0 version to analyze the raw data collected during the 9th National Health and Nutrition Survey, Year 1 (2020). In addition, a machine learning model was constructed using Python 3.7 in the Google Colab environment. Results: Using PROCESS Macro Model 4 analysis, we confirmed the indirect effect of depression on suicidal ideation through the mediating effect of gender, income level, nicotine dependence, overall fasting status, strength training, and subjective health perception. In addition, we reconfirmed the variables with high contribution to suicidal ideation and depression by utilizing machine learning SHapley Additive exPlanation values. Conclusion: This study identified the factors affecting depression and suicidal ideation, among the Korean youth, which can be used to specify and implement health promotion and suicide prevention strategies. Based on the results, it is necessary to implement practical intervention methods that can effectively solve the problems of depression and suicide.