Previous research has linked greater social connectedness with a lowered risk of self-directed violence among adolescents. However, few studies have analyzed the comparative strength of different domains of connectedness (e.g., family, peers and school) to determine where limited resources might best be focused. Data to address that gap were taken from the Centers for Disease Control and Prevention’s Student Health and Safety Survey, administered to 4,131 7th–12th graders (51.5% female; 43.8% Hispanic; 22.6% African American or Black). Logistic regressions (controlling for age, gender, race/ethnicity, family structure, academic performance, and depressive symptoms) suggest that family connectedness was a stronger predictor than connectedness to peers, school, or adults at school for non-suicidal self-harm, suicidal ideation, suicide plans, and non-fatal suicidal behavior. In some analyses, peer connectedness was unexpectedly a risk factor. Results have implications for prevention of suicide in adolescence, especially in the context of the current trend towards school-based prevention programs.