Objective: To compare the effect of sexual orientation, history of sexual assault and sense of belonging on depression and suicidality among lesbian, gay, bisexual, queer and questioning (LGBQ) and heterosexual students. Participants: A total of 60,194 students from 60 US campuses who participated in the 2017-2018 Healthy Minds Study. Methods: Three-way interaction effects were analyzed using PROCESS macro models in SPSS. Results: Significant three-way interaction effects were found for sexual orientation, sexual assault and sense of belonging predicting depressive symptoms (b = -0.06, p= 0.042, CI: -0.12 to -0.00), and suicidality (b = -0.10, p= 0.004, CI: -0.01 to -0.003). The effect of sexual assault on mental health differed depending on sexual orientation and sense of belonging. Particularly among LGBQ students, high sense of belonging was protective in the presence of sexual assault, and its absence had a deleterious effect on mental health. Conclusion: Enhancing sense of belonging may represent a strategy to mitigate depression and promote suicide prevention, particularly among LGBQ students.